Accession Number : AD0754573

Title :   The Statistics of First Order Differential and Difference Equations with Stochastic Inputs.

Descriptive Note : Technical rept.,

Corporate Author : ARMY WEAPONS COMMAND ROCK ISLAND ILL FUTURE WEAPONS DIV

Personal Author(s) : Schlenker,George J.

Report Date : JAN 1973

Pagination or Media Count : 69

Abstract : The report develops expressions for the nonstationary mean and variance of the state variable of first order differential and difference equations. These are used to develop probability statements for the solution. Examples are provided. Two classes of forcing functions for the equations are considered -- one in which the noise component is white and the other for non-white noise. For the class of non-white noise, two types are investigated. The first type of non-white noise results from a finite moving average process with white noise input. The second type of non-white noise treated is the output of an autoregressive process with white noise input. (Author)

Descriptors :   (*DIFFERENTIAL EQUATIONS, *STOCHASTIC PROCESSES), DIFFERENCE EQUATIONS, RANDOM VARIABLES, TIME SERIES ANALYSIS, TRANSFER FUNCTIONS, WHITE NOISE, INTEGRAL TRANSFORMS, GRAPHICS, POWER SPECTRA

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE