Moments of Solutions of a Class of Stochastic Differential Equations

DOI10.1063/1.1665512zbMath0235.60055OpenAlexW1964263243MaRDI QIDQ5644859

James Mckenna, John A. Morrison

Publication date: 1971

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.1665512

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

A second-order Monte Carlo method for the solution of the Ito stochastic differential equation ⋮ Moments and Correlation Functions of Solutions of Some Stochastic Matrix Differential Equations

Cites Work

• A Markovian Function of a Markov Chain
• Analytical design of controllers in stochastic systems with velocity-limited controlling action
• Application of the Smoothing Method to a Stochastic Ordinary Differential Equation
• Moments and Correlation Functions of Solutions of a Stochastic Differential Equation
• Calculation of Correlation Functions of Solutions of a Stochastic Ordinary Differential Equation

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