An Entropy-Minimum Aspect of the Equivalent Linearization of a Nonlinear Stochastic Differential Equation

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概要

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• For a diffusion process determined by a stochastic differential equation with a constant diffusion, we introduce a relative (Kullback) entropy in a function space. We show minimization of this entropy yields the so-called Equivalent (Statistical) Linearization method which gives the best Gaussian solution.

• 理論物理学刊行会の論文
• 1981-07-25

著者

• Ito Hidemi

  Kakioka Magnetic Observatory

関連論文

• A Characterization of the Detailed Balance from a Viewpoint of the Onsager-Machlup Theory
• An Entropy-Minimum Aspect of the Equivalent Linearization of a Nonlinear Stochastic Differential Equation

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