Title :
Explicit solution to generalized time-varying Kolmogorov equation
Author :
Wu, Xi ; Yau, Stephen S T
Author_Institution :
Dept. of Math. Stat. & Comput. Sci., Illinois Univ., Chicago, IL, USA
Abstract :
In this paper, we give a closed formal solution to generalized Kolmogorov equation. Estimates of the formal solution are obtained. From the truncated formal solution, we are able to construct the convergent fundamental solution and estimate the time interval on which our solution converges
Keywords :
computational complexity; time-varying systems; closed formal solution; convergent fundamental solution; explicit solution; generalized time-varying Kolmogorov equation; Artificial intelligence; Computer science; Filtering; Integral equations; Mathematics; Nonlinear equations; Statistics;
Conference_Titel :
Decision and Control, 1999. Proceedings of the 38th IEEE Conference on
Conference_Location :
Phoenix, AZ
Print_ISBN :
0-7803-5250-5
DOI :
10.1109/CDC.1999.830912
