Abstract
For dynamical systems which are described by systems of differential or difference equations dependent on a finite-valued Markov process, we suggest a new form of equations for moments of their random solution. We derive equations for a correlation matrix of random solutions.
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References
V. I. Tikhonov and M. A. Mironov,Markov Processes [in Russian], Sovetskoe Radio, Moscow (1977).
K. G. Valeev, and O. L. Strizhak, “Method of moment equations,” Preprint No. 467, Institute of Electrodynamics, Ukrainian Academy of Sciences, Kiev (1986).
Additional information
Kiev Economic Institute, Kiev. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 51, No. 3, pp. 338–348, March, 1999.
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Lapshin, A.L. The correlation matrix of random solutions of a dynamical system with Markov coefficients. Ukr Math J 51, 377–389 (1999). https://doi.org/10.1007/BF02592475
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DOI: https://doi.org/10.1007/BF02592475