A Stochastic Representation for the Principal Eigenvalue of a Second-Order Differential Equation.

Abstract

Using ideas from stochastic control a stochastic representation for the smallest eigenvalue of a second-order differential equation has been devised. As a side-result an associated stationary control problem in a very general setting has been solved.

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Document Details

Document Type
Technical Report
Publication Date
Nov 01, 1979
Accession Number
ADA080212

Entities

People

  • Ioannis Karatzas

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Applied Mathematics
  • Brownian Motion
  • Calculus Of Variations
  • Differential Equations
  • Distribution Functions
  • Eigenvalues
  • Equations
  • Inequalities
  • Mathematics
  • New York
  • Normal Distribution
  • Probability
  • Probability Distributions
  • Random Variables
  • Stochastic Control
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Control Systems Engineering.
  • Mathematical Modeling and Probability Theory.