A closure method for randomly perturbed linear systems (Q2732359)
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scientific article; zbMATH DE number 1623613
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A closure method for randomly perturbed linear systems |
scientific article; zbMATH DE number 1623613 |
Statements
9 May 2002
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moments of stochastic differential equations
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trigonometric polynomial with respect to Wiener process
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Cameron-Martin formula
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A closure method for randomly perturbed linear systems (English)
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Asymptotic expansions are given for the mean value of the solution of NEWLINE\[NEWLINE\frac{dx}{dt}=A(t)x+\beta \sin(\alpha \omega(t))C(t)x,NEWLINE\]NEWLINE where \(A(t), C(t)\) are deterministic matrices, \(\omega\) is a Wiener process and \(\alpha, \beta\) are nonrandom parameters.
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