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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