Two Papers on Jump Diffusion Approximations to Output Processes of Nonlinear Systems with Wide Band Inputs and Applications,

Abstract

A convenient method for proving weak convergence of a sequence of non-Markovian processes x superscript epsilon (dot) to a jump-diffusion process is proved. Basically, it is shown that the limit solves the martingale problem of Strook and Varadhan. The proofs are relatively simple, and the conditions apparently weaker than required by other current methods (in particular, for limit theorems for a sequence of ordinary differential equations with random right hand sides). In order to illustrate the relative ease of applicability in many cases, a simpler proof of a known result on averaging is given. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jul 01, 1979
Accession Number
ADA075487

Entities

People

  • Harold J. Kushner

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Antenna Arrays
  • Convergence
  • Covariance
  • Differential Equations
  • Diffusion
  • Equations
  • Fokker Planck Equations
  • Gaussian Noise
  • Gaussian Processes
  • Integrals
  • Markov Chains
  • Markov Processes
  • Noise
  • Probability
  • Random Variables
  • Stochastic Processes
  • Weak Convergence

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Systems Analysis and Design