Derivation of the Moments of a Continuous Stochastic System
- 1 January 1967
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 5 (1), 85-90
- https://doi.org/10.1080/00207176708921745
Abstract
The properties of the Ito stochastic differential equation give a simple derivation of differential equations for expected values of arbitrary functions of stochastic systems. In particular, differential equations for the moments of the system are derived. It is cautioned that, care must be taken when applying these results to noisy systems occurring in practice.Keywords
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