A closure method for randomly perturbed linear systems

DOI10.1515/DEMA-2001-0219MaRDI QIDQ2732359zbMATH OpenOpenAlexFDO

Authors Roman V. Bobryk, Łukasz Stettner

Publication date 9 May 2002

Published in Demonstratio Mathematica (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1515/dema-2001-0219

zbMATH Keywords

Cameron-Martin formulamoments of stochastic differential equationstrigonometric polynomial with respect to Wiener process

Mathematics Subject Classification ID

Asymptotic expansions of solutions to ordinary differential equations (34E05) Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Asymptotic expansions are given for the mean value of the solution of NEWLINE\[NEWLINE\frac{dx}{dt}=A(t)x+\beta \sin(\alpha \omega(t))C(t)x,NEWLINE\]NEWLINE where \(A(t), C(t)\) are deterministic matrices, \(\omega\) is a Wiener process and \(\alpha, \beta\) are nonrandom parameters.

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• Exponential closure method for some randomly excited nonlinear systems
• On the structure of closeness estimates for pseudosolutions of initial and perturbed systems of linear algebraic equations
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• Transitions in a Duffing oscillator excited by random noise
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