Abstract
The chapter discusses the use of the spectral form of mathematical description, or the spectral method, for the statistical analysis of stochastic dynamical systems: diffusions and jump diffusions, i.e., for solving Fokker–Planck–Kolmogorov equation and Kolmogorov–Feller equation for the probability density of the state vector for these dynamical systems. The spectral form of mathematical description allows to transform linear partial differential equations or partial integro-differential equations into a system of linear algebraic equations, which determines coefficients according to orthogonal series expansions for the probability density with respect to an arbitrary orthonormal system of functions. As an example for testing, the Dryden wind turbulence model and its modification, allowing to take into account not only continuous random effects but also impulse ones, are considered.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
