A description of stochastic systems using chaotic maps

Abraham Boyarsky and Pawel Góra

International Journal of Stochastic Analysis, 2004, vol. 2004, 1-5

Abstract:

Let Ï ( x , t ) denote a family of probability density functions parameterized by time t . We show the existence of a family { Ï„ 1 : t > 0 } of deterministic nonlinear (chaotic) point transformations whose invariant probability density functions are precisely Ï ( x , t ) . In particular, we are interested in the densities that arise from the diffusions. We derive a partial differential equation whose solution yields the family of chaotic maps whose density functions are precisely those of the diffusion.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:515483

DOI: 10.1155/S1048953304308026

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