Derivation of the Moments of a Continuous Stochastic System†
作者:
I. G. CUMMING,
期刊:
International Journal of Control
(Taylor Available online 1967)
卷期:
Volume 5,
issue 1
页码: 85-90
ISSN:0020-7179
年代: 1967
DOI:10.1080/00207176708921745
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The properties of the Ito stochastic differential equation give a simple derivation of differential equations for expected values of arbitrary functions of stochastic systems. In particular, differential equations for the moments of the system are derived. It is cautioned that, care must be taken when applying these results to noisy systems occurring in practice.
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