Correlation free forms for nonlinear stochastic systems

S. M. Meerkov*, T. Runolfsson, Z. Schuss

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

An asymptotic method for analysis of nonlinear systems with wide-band and high frequency stochastic perturbation is developed. Correlation free (Itô) limiting equations are derived and a generalization of the Wong-Zakai correction for the drift term is obtained. A correction for the diffusion term is also shown to exist. Several illustrative examples are considered.

Original languageEnglish
Pages (from-to)483-495
Number of pages13
JournalJournal of Mathematical Analysis and Applications
Volume139
Issue number2
DOIs
StatePublished - 1 May 1989

Funding

FundersFunder number
U.S. Department of EnergyDE-FGO2-

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