Title :
Well-behaved Itô equations with simulations that always misbehave
Author :
Clements, David J. ; Anderson, Brian D O
Author_Institution :
University of Newcastle, New South Wales, Austrailia
fDate :
12/1/1973 12:00:00 AM
Abstract :
Itô equations, including one arising in the theory of optimal filtering of a random telegraph wave, are examined. Although the solutions of the equations are always bounded, simulations of the equation on a digital computer lead to unbounded solutions.
Keywords :
Stochastic differential equations; Computational modeling; Differential equations; Inspection; Least squares methods; Nonlinear equations; Optical character recognition software; Sociotechnical systems; Stability; Telegraphy; Variable speed drives;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100444
