Accession Number : AD0721498

Title :   Equations Differentielles Stochastiques au Sens de Stratonovitch et de Ito (Stochastic Differential Equations in the Sense of Stratonovitch and of Ito),

Corporate Author : ECOLE NATIONALE SUPERIEURE DES MINES DE PARIS FONTAINEBLEAU (FRANCE) CENTRE D'AUTOMATIQUE

Personal Author(s) : Levieux,F.

Report Date : NOV 1970

Pagination or Media Count : 15

Abstract : The definition and main properties of the stochastics integrals are examined. The differences between the solutions proposed by K. Ito and R. L. Stratonovitch are exposed. The question of the representation of diffusion processes by stochastic differential equations is examined in view of definition of a non-linear state variable representation of diffusion processes. (Author)

Descriptors :   (*DIFFERENTIAL EQUATIONS, NUMERICAL INTEGRATION), INTEGRAL EQUATIONS, STOCHASTIC PROCESSES, BROWNIAN MOTION, DIFFUSION, THEOREMS, FRANCE

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE