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Prognoseprobleme bei zufällig gestörten dynamischen Systemen

Conference paper
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Part of the Proceedings in Operations Research book series (ORP, volume 1973)

Abstract

Stochastic dynamic systems with continuous state space and time scale may be defined as diffusion processes or as real physical processes described by ordinary differential equations with right hand sides containing ‘coloured’ noise. The relation between real and diffusion processes is established by a convergence theorem. By this theorem filter and prediction problems for real processes are reduced to the corresponding problems for diffusion processes. The same theorem shows how to approximate numerically economic models defined by diffusion processes and how to use simulation in forecasting.

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Copyright information

© Physica-Verlag, Rudolf Liebing KG, Würzburg 1974

Authors and Affiliations

  1. 1.MünchenDeutschland

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