V. S. Pugachev, I. N. Sinitsyn, “Theory of complex stochastic systems”, Inform. Primen., 2011, Volume 5, Issue 2,Pages <nobr>4

Theory of complex stochastic systems

V. S. Pugachev, I. N. Sinitsyn^a

^a Institute for Problems of Informatics RAS

Abstract: Applied theory of probabilistic distributions in the infinite-dimensional differential stochastic systems based on equations for characteristic functionals is given. Structural theory of forming filters is considered. Conditional probability measures for typical connections of stochastic systems are presented. Six illustrative examples are given. The article is the widening of the report at the seminar dedicated to the 85th anniversary of Academician V. S. Pugachev (IPI RAS, Moscow, 1996).

Keywords: differential stochastic system; multivariate characteristic functional; typical connections of complex stochastic systems.