The Statistics of First Order Differential and Difference Equations with Stochastic Inputs.

Abstract

The report develops expressions for the nonstationary mean and variance of the state variable of first order differential and difference equations. These are used to develop probability statements for the solution. Examples are provided. Two classes of forcing functions for the equations are considered -- one in which the noise component is white and the other for non-white noise. For the class of non-white noise, two types are investigated. The first type of non-white noise results from a finite moving average process with white noise input. The second type of non-white noise treated is the output of an autoregressive process with white noise input. (Author)

Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1973
Accession Number
AD0754573

Entities

People

  • George J. Schlenker

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Data Science
  • Difference Equations
  • Differential Equations
  • Equations
  • Information Science
  • Mathematical Analysis
  • Mathematics
  • Noise
  • Probability
  • Statistics
  • White Noise

Readers

  • Finite Element Method (FEM) for solving Partial Differential Equations (PDEs)
  • Statistical inference.