ランダム関数を係数にもつ確率微分方程式の一解法

概要

論文の詳細を見る
It is wellknown that a stochastic differential equation with random coefficients can be solved with calculation of Ito integral. In this paper an approximate solution for a stochastic differential equation with weakly stationary random coefficients is proposed to aim analysis of the response of a system involving elements with weakly stationary stochastic process. The proposed method can solve the stochastic differential equation without calculation of Ito integral. First, as the preparation for solving a stochastic differential equation with random coefficients in power spectral domain, a method finding the original random function (sample function) from the power spectrum is presented. Second, a method solving the stochastic differential equation weakly stationary random coefficients in power spectral domain is presented. Finally, two examples are illustrated to show the effectiveness of the proposed method.
東海大学の論文