Spectral characteristics of linear functionals and their applications to stochastic control systems analysis and syntheses
Moscow Aviation Institute (National Research University), 4, Volokolamskoe shosse, Moscow, А-80, GSP-3, 125993, Russia
AbstractThe concept of linear functional spectral characteristics is introduced. Possible applications to stochastic control systems analysis and syntheses are considered. In particular, the determination problem of the state vector expectation and covariance matrix, marginal and conditional probability density functions of the part of the state vector.