Some additional remarks on the cumulant expansion for linear stochastic differential equations

J.B.T.M. Roerdink

Physica A: Statistical Mechanics and its Applications, 1984, vol. 123, issue 2, 369-385

Abstract: We summarize our previous results on cumular expasions for linear stochastic differential equations with correlated multipliclative and additive noise. The application of the general formulas to equations with statistically independent multiplicative and additive noise is reconsidered in detail, because our earlier results for this case are only valid in special situations. Moreover, a second partially time ordered cumulant is introduced, which is appropriate for the calculation of multi-time averages of the solution process and which differs from the one to be used for single-time averages. By the two supplements just mentioned we complete our earlier investigations on the subject.

Date: 1984
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0378437184901614
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:123:y:1984:i:2:p:369-385

DOI: 10.1016/0378-4371(84)90161-4

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().