Approximation of Solutions to Differential Equations with Random Inputs by Diffusion Processes,

Abstract

The topic of convergence has seen much work, starting with the fundamental papers of Wong and Zakai, and followed by others, including Khazminskii, Papanicolaou and Kohler, etc. From a non-probabilistic point of view, it has been dealt with by McShane and Sussmann. In this paper, a rather general and efficient method of getting the correct limits is discussed. The idea exploits some general semigroup approximation results of Kurtz, and often not only gets better results than those obtained by preceding methods, but is also easier to use.

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1978
Accession Number
ADA063706

Entities

People

  • Harold J. Kushner

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Antenna Arrays
  • Antennas
  • Applied Mathematics
  • Convergence
  • Differential Equations
  • Equations
  • Integrals
  • Linear Differential Equations
  • Markov Chains
  • Markov Processes
  • Probability
  • Random Variables
  • Sequences
  • Stationary Processes
  • Stochastic Control
  • Stochastic Processes
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Military History