On the continuous approximation of the probability density and of the entropy functions for nonlinear stochastic dynamical systems (Q579759)

This paper deals with the problem of continuous approximation of the probability density and the entropy function of a large class of stochastic nonlinear systems with random initial conditions and parameters. The proposed method generalizes to the stochastic case a continuous approximation method proposed for deterministic nonlinear systems and it provides an accurate quasilinear approximation which is continuous in time and in the state space.