Solving linear stochastic differential equations

DOI10.1063/1.1666678zbMath0279.34049OpenAlexW1988987721MaRDI QIDQ4765442

No author found.

Publication date: 1974

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/69975bb5a03e71227c257283e1e68a81cd0420bf

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Numerical analysis in abstract spaces (65J99)

Related Items

OPTIMAL PERTURBATION OF UNCERTAIN SYSTEMS ⋮ Unmixing in random flows ⋮ Multiplicative stochastic processes involving the time derivative of a Markov process ⋮ Stochastic dynamics with multiplicative dichotomic noise: heterogeneous telegrapher's equation, anomalous crossovers and resetting ⋮ Effect of atmospheric turbulence on modulational instability in laser-pulse propagation ⋮ Gaussian convergence for stochastic acceleration of \(\mathcal {N}\) particles in the dense spectrum limit ⋮ Lagrangian method for multiple correlations in passive scalar advection ⋮ Random Leslie matrices in population dynamics ⋮ Non-Markovian stochastic processes: Colored noise ⋮ Stochastic processes driven by dichotomous Markov noise: Some exact dynamical results ⋮ Two refreshing views of fluctuation theorems through kinematics elements and exponential martingale ⋮ The diffusion of scalar and vector fields by homogeneous stationary turbulence ⋮ A stochastic model for two interacting species ⋮ Random advection of chemically reacting species ⋮ On the continuity of stochastic models for the Lagrangian velocity in turbulence ⋮ Stability of two intercting species subject to stochastic parameter variation ⋮ Heavy traffic queue with stochastic arrival and service rates ⋮ Diffusion of information in a random environment ⋮ Mean square stabilization of linear systems by mean zero noise ⋮ NOISE TRANSFORMATION IN NONLINEAR SYSTEM WITH INTENSITY DEPENDENT PHASE ROTATION ⋮ Role of sub- and super-Poisson noise sources in population dynamics ⋮ A Markovian random coupling model for turbulence ⋮ Effective eigenstates in a dynamical disordered tight-binding model

Cites Work

• Unnamed Item
• Statistical Behavior of Linear Systems with Randomly Varying Parameters
• Stochastically perturbed fields, with applications to wave propagation in random media
• Stochastic Liouville Equations
• Parastochastics
• Application of the Smoothing Method to a Stochastic Ordinary Differential Equation
• Moments and Correlation Functions of Solutions of a Stochastic Differential Equation
• Wave Propagation in a One-Dimensional Random Medium
• Mean power transmission through a slab of random medium
• A kinetic theory for power transfer in stochastic systems
• Dynamics of Nonlinear Stochastic Systems

This page was built for publication: Solving linear stochastic differential equations