Constructing an SDE from its two-point generator

DOI10.1142/S0219493715500252zbMath1334.60099MaRDI QIDQ3453144

Mohammad Alvand

Publication date: 20 November 2015

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationCholesky decompositionBrownian flowtwo-point generator

Mathematics Subject Classification ID

Factorization of matrices (15A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generation, random and stochastic difference and differential equations (37H10) Convergence of probability measures (60B10)

Related Items (1)

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Cites Work

• Stochastic averaging and asymptotic behavior of the stochastic Duffing--van der Pol equation
• The asymptotic stability of a noisy non-linear oscillator
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