On stochastic differential equations with non-white noise having small correlation times

DOI10.1016/0016-0032(80)90005-8zbMath0427.60065OpenAlexW2034907431MaRDI QIDQ1136425

S. H. Smith

Publication date: 1980

Published in: Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0016-0032(80)90005-8

zbMATH Keywords

iteration proceduredifference-differential equation with time delays

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Random operators and equations (aspects of stochastic analysis) (60H25)

Related Items (3)

On the adjoint equation of stochastic linear systems with small correlation times ⋮ The stochastic harmonic oscillator with finite correlation times ⋮ The stochastic harmonic oscillator with linear damping

Cites Work

• Systems containing random parameters with small correlation times
• Statistical Behavior of Linear Systems with Randomly Varying Parameters
• A Controversy in Problems Involving Random Parametric Excitation

This page was built for publication: On stochastic differential equations with non-white noise having small correlation times