Jump-Diffusion Approximations for Ordinary Differential Equations with Wide-Band Random Right Hand Sides

DOI10.1137/0317051zbMath0432.60096OpenAlexW2023237214MaRDI QIDQ3870116

Harold J. Kushner

Publication date: 1979

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0317051

zbMATH Keywords

stochastic approximationjump diffusionapproximate white noiserandom impulsive process

Mathematics Subject Classification ID

Stochastic approximation (62L20) Functional limit theorems; invariance principles (60F17) Stochastic integral equations (60H20)

Related Items

The application of asymptotic methods to certain stochastic problems of the dynamics of vibropercussive systems ⋮ Asymptotic properties, stability and “near” stationary of parabolic partial differential equations with wide bandwidth inputs ⋮ A partial history of the early development of continuous-time nonlinear stochastic systems theory ⋮ Approximate and limit results for nonlinear filters with wide bandwith observation noise ⋮ Belavkin filtering with squeezed light sources ⋮ Approximation of stochastic equations driven by predictable processes ⋮ Wong-Zakai approximations for stochastic differential equations ⋮ A martingale method for the convergence of a sequence of processes to a jump-diffusion process ⋮ Real-time simulation of H-P noisy Schrödinger equation and Belavkin filter ⋮ Diffusion approximations for nonlinear phase locked loop-type systems with wide band inputs ⋮ Belavkin filter for mixture of quadrature and photon counting process with some control techniques ⋮ Quantum Trajectories for Squeezed Input Processes: Explicit Solutions ⋮ Modeling and approximation of stochastic differential equations driven by semimartingales^† ⋮ Asymptotic distributions of solutions of ordinary differential equations with wide band noise inputs: approximate invariant measures ⋮ Asymptotic distributions of solutions of ordinary differential equations with wide band noise inputs: approximate invariant measures ⋮ On Wong-Zakai approximation of stochastic differential equations ⋮ Approximating multiple itô integrals with "band limited" processes ⋮ Limits for parabolic partial differential equations with wide band stochastic coefficients andan application to filtering theory ⋮ Asymptotic analysis of P.D.E.s with wide–band noise disturbances, and expansion of the moments