Finite-dimensional distributions of invariant measure in nonlinear stochastic differential systems

DOI10.1007/BF02404128MaRDI QIDQ1974979zbMATH OpenFDO

Authors I. N. Sinitsyn

Publication date 27 March 2000

Published in Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02404128

Mathematics Subject Classification ID

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

Review text

This paper reviews and discusses the author's method for constructing integral invariants in order to find the density functions of solutions of systems of Itô differential equations of the form \[ Z'= a(Z,t)+ b(Z,t)V, \qquad Z(t_0)= Z_0, \] where \(V\) is the mean-square derivative of an \(m\)-dimensional Wiener process \(W(t)\) and \(Z_0\) is a normal random variable independent of the increments of \(W(t)\) for \(t> t_0\).

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Cited in

(9)

• Convex computation of extremal invariant measures of nonlinear dynamical systems and Markov processes
• Stochastic first integrals, kernel functions for integral invariants and the Kolmogorov equations
• scientific article; zbMATH DE number 4153608 (Why is no real title available?)
• scientific article; zbMATH DE number 3967592 (Why is no real title available?)
• Dimensionality of Invariant Sets for Nonautonomous Processes
• scientific article; zbMATH DE number 220003 (Why is no real title available?)
• scientific article; zbMATH DE number 1833734 (Why is no real title available?)
• scientific article; zbMATH DE number 922756 (Why is no real title available?)
• An integral inequality for the invariant measure of some finite dimensional stochastic differential equation

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