Accession Number:

ADA063706

Title:

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

Descriptive Note:

Corporate Author:

BROWN UNIV PROVIDENCE R I DIV OF APPLIED MATHEMATICS

Personal Author(s):

Report Date:

1978-11-01

Pagination or Media Count:

22.0

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.

Subject Categories:

  • Electrical and Electronic Equipment
  • Numerical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE