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“Formulae of differentiation” and their use for solving stochastic equations

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  • Shapiro, V.E.
  • Loginov, V.M.

Abstract

New tools for the solution of stochastic differential equations are presented. It is shown that there exist simple formulae for splitting correlations, which arise when dealing with widely used models of random processes such as Poisson, gaussian and Markov jump processes with an exponential form of the covariance. The use of the formulae is demonstrated.

Suggested Citation

  • Shapiro, V.E. & Loginov, V.M., 1978. "“Formulae of differentiation” and their use for solving stochastic equations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 91(3), pages 563-574.
    • Handle: RePEc:eee:phsmap:v:91:y:1978:i:3:p:563-574
    DOI: 10.1016/0378-4371(78)90198-X
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    References listed on IDEAS

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    1. Rodríguez, R.F. & Van Kampen, N.G., 1976. "Systematic treatment of fluctuations in a nonlinear oscillator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 85(2), pages 347-362.
    2. Federico Frischknecht, 1974. "The Structure of Management Decision Systems," Interfaces, INFORMS, vol. 5(1), pages 11-18, November.
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    Cited by:

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    5. Chen, Xi & Luo, Maokang & Zhong, Yangfan & Zhang, Lu, 2022. "Collective dynamic behaviors of a general adjacent coupled chain in both unconfined and confined spaces," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 605(C).
    6. He, Lifang & Wu, Xia & Zhang, Gang, 2020. "Stochastic resonance in coupled fractional-order linear harmonic oscillators with damping fluctuation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    7. You, Pinlong & Lin, Lifeng & Wang, Huiqi, 2020. "Cooperative mechanism of generalized stochastic resonance in a time-delayed fractional oscillator with random fluctuations on both mass and damping," Chaos, Solitons & Fractals, Elsevier, vol. 135(C).
    8. Lin, Lifeng & He, Minyue & Wang, Huiqi, 2022. "Collective resonant behaviors in two coupled fluctuating-mass oscillators with tempered Mittag-Leffler memory kernel," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).

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