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Multi-dimensional characteristic functions application to the description of nonmarkov random processes

Authors: Morozov A.N. Published: 23.06.2015
Published in issue: #1(26)/1997  

DOI:

 
Category: Simulation of Processes  
Keywords:

The stochastic differential systems are described with application of the multidimensional characteristic functions. The equations for twodimensional characteristic functions are obtained and their generalization for n-dimensional characteristic functions is made. The elaborated method is applied so as to give a more precise definition of the Brownian motion. It is shown that the method leads to the results coinciding with that obtained before by means of using the method of multi-dimensional distribution functions.