On the continuous approximation of the probability density and of the entropy functions for nonlinear stochastic dynamical systems

I. Bonzani, M.G. Zavattaro and N. Bellomo

Mathematics and Computers in Simulation (MATCOM), 1987, vol. 29, issue 3, 233-241

Abstract: This paper deals with the problem of the continuous approximation of the probability density and of the entropy function of a large class of nonlinear stochastic systems with random initial conditions and parameters. The proposed method generalizes to the stochastic case a continuous approximation method proposed for deterministic nonlinear systems and provides an accurate quasi-analytic approximation continuous in time and in the state space.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:29:y:1987:i:3:p:233-241

DOI: 10.1016/0378-4754(87)90133-9

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