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Multitime-scale singularly perturbed linear stochastic systems*

 

作者: G.S. Ladde,   O. Sirisaengtaksin,  

 

期刊: Stochastic Analysis and Applications  (Taylor Available online 1986)
卷期: Volume 4, issue 2  

页码: 213-238

 

ISSN:0736-2994

 

年代: 1986

 

DOI:10.1080/07362998608809088

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

By applying diagonalization transformation, generalized variation of constants formula and theory of differential inequalities,the mean square convergence of solution process of a shingularly perturbed linear stochastic differential system ofItô-type is investigated. Moreover, slow and fast modes decomposition provides an auxiliary decoupled system whose solution processes are incorporated in approximating the solution processes of the original system

 

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