A stochastic differential equation with an a.s. locally stable compact set is considered. The attraction probabilities to the set are characterized by the sublevel sets of the limit of a sequence of solutions to 2(nd) order partial differential equations. Two numerical examples illustrating the method are presented.
Characterizing attraction probabilities via the stochastic Zubov equation
CAMILLI, FABIO;
2003-01-01
Abstract
A stochastic differential equation with an a.s. locally stable compact set is considered. The attraction probabilities to the set are characterized by the sublevel sets of the limit of a sequence of solutions to 2(nd) order partial differential equations. Two numerical examples illustrating the method are presented.File in questo prodotto:
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