Approximate solution methods for linear stochastic difference equations

DOI10.1016/0378-4371(83)90103-6zbMath0511.60062OpenAlexW2000274184MaRDI QIDQ1838770

Jos B. T. M. Roerdink

Publication date: 1983

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4371(83)90103-6

zbMATH Keywords

random perturbationlinear stochastic difference equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic analysis (60H99)

Related Items (1)

Approximate solution methods for linear stochastic difference equations. II. Inhomogeneous equations, multi-time averages, biological application

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• Diffusion approximations to linear stochastic difference equations with stationary coefficients
• Products of Random Matrices
• On the Statistical Treatment of Linear Stochastic Difference Equations

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