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Spectral Method for Analysis of Switching Diffusions

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2 Author(s)
Rybakov, K.A. ; Moscow Aviation Inst., Moscow ; Sotskova, I.L.

The analysis problem of switching diffusions is considered. This paper presents a new approach based on the spectral method formalism for solving generalized Fokker-Planck equations. The proposed method allows to transform partial differential equations into the linear algebraic equations, and to arrive at a solution in an explicit form. The aspects of applications are discussed. A numerical example is given to illustrate the efficiency of the proposed method.

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Automatic Control, IEEE Transactions on  (Volume:52 ,  Issue: 7 )