Moments and Correlation Functions of Solutions of Some Stochastic Matrix Differential Equations

DOI10.1063/1.1665974zbMath0234.60075OpenAlexW2034573352MaRDI QIDQ5643380

John A. Morrison

Publication date: 1972

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

Full work available at URL: https://doi.org/10.1063/1.1665974

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Renewal theory (60K05)

Related Items (6)

Asymptotic stability analysis of nonlinear stochastic semi‐Markov jump systems ⋮ Renewal theory for transport processes in binary statistical mixtures ⋮ Markov jump linear systems with switching transition rates: mean square stability with dwell-time ⋮ Consensus of output-coupled high-order linear multi-agent systems under deterministic and Markovian switching networks ⋮ Nonlinear filtering problems with finite-dimensional matrix estimation algebras ⋮ Necessary and sufficient conditions for moment stability of positive Markov jump linear systems

Cites Work

• Analytical design of controllers in stochastic systems with velocity-limited controlling action
• Moments and Correlation Functions of Solutions of a Stochastic Differential Equation
• Moments of Solutions of a Class of Stochastic Differential Equations

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