An inverse problem for stochastic differential systems

DOI10.1023/A:1019285119532MaRDI QIDQ5951335zbMATH OpenOpenAlexFDO

Authors M. I. Tleubergenov

Publication date 14 August 2002

Published in Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1019285119532

zbMATH Keywords

control parameterscontrol vector functiondiffusion matrixdrift coefficientErugin vector functionintegral manifoldItô stochastic second-order differential equationlinear caseMeshcherskij stochastic problemperturbed motion

Mathematics Subject Classification ID

Inverse problems involving ordinary differential equations (34A55) Ordinary differential equations and systems with randomness (34F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Review text

Consider the Itô stochastic second-order differential equation \[ \ddot x=f(x,\dot x, t)+ D(x,\dot x, t)u+\sigma(x,\dot x, t)\dot\xi,\quad x\in\mathbb R^n,\;\xi\in\mathbb R^k.\tag{1} \] The author gives the form of control parameters -- the control vector function \(u = u(x,\dot x, t)\in\mathbb R^r\) and the diffusion matrix \(\sigma(x,\dot x,t)\) -- providing necessary and sufficient conditions for the existence of a given integral manifold for (1) and for the linear case of the problem. As an illustration, the Meshcherskij stochastic problem is considered.

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Cited in

(15)

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