ON THE REPRESENTATION OF THE SOLUTION OF A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS

Abstract

A discussion is given of a representation of the distribution function of the solution of the stochastic differential equation u' = g(u) + r(t), where r(t) is a given stochastic function, and g(u) is assumed to be either strictly convex or strictly concave for all u. Extensions of this result to more general types of nonlinear functional equations may be readily obtained.

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Document Details

Document Type
Technical Report
Publication Date
Jul 09, 1957
Accession Number
AD0606448

Entities

People

  • Richard E. Bellman

Organizations

  • RAND Corporation

Tags

DTIC Thesaurus Topics

  • Differential Equations
  • Distribution Functions
  • Equations
  • Hard Copy
  • Inequalities
  • Linear Differential Equations
  • Mathematical Analysis
  • Mathematics
  • Microfiche
  • Nonlinear Differential Equations
  • Real Variables
  • Wave Propagation

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Computer Programming and Software Development.
  • Mathematical Modeling and Probability Theory.