The Green Function Method in the Problem of Random Signal Transformation by a Linear Dynamic System

A dynamic system is considered, which is described by a high order linear differential equation with constant coefficients. The Green's function method established the relationship between the numerical characteristics of a random signal at the input and output of a dynamic system, namely between mathematical expectations and between correlation functions. In contrast to the known results, the stationarity of the input and output random signals is not assumed.

Keywords

continuous random processes; mathematical expectations; correlation functions; dynamical systems with random functions.

References

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