Algorithm of statistical simulation of dynamic systems with distributed change of structure

摘要

The paper considers dynamic systems with a distributed change of structure, where the structure number process is Markov process or a conditional Markov process. A statistical algorithm was constructed for probabilistic analysis of such systems. It is based on numerical methods for solution of the Stochastic Differential Equations (SDEs) and on the "maximum cross-section method". Some results of numerical experiments are given.