Stochastic Differential Equations and Models of Random Processes
Abstract
Let us suppose that we are investigating a system whose state can be adequately specified by n real numbers x1, , x(n). We shall suppose that by some acceptable scientific theory it is predicted that, in the absence of disturbances from outside the system, the xi develop in time in accordance with certain differential equations, x(I) = g(I)0 (t,x), I-1,...,n. If there are disturbances or noises,n(1)(t),...n(r)(t), the underlying theory of such systems will often permit us to conclude that x(I) = g(I)0 (t,x) + sigma (sub p=1) g(I)p (t,x) n(p) (t), I = 1, ..., n, which g(I)p is the sensitivity of the ith coordinate to the pth noise.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jan 01, 1972
- Accession Number
- AD1025454
Entities
People
- E. J. Mcshane
Organizations
- University of Virginia