vom Scheidt, J.; Starkloff, H.-J.; Wunderlich, R. : Asymptotic expansions of integral functionals of vector valued epsilon-correlated processes

Author(s) :

vom Scheidt, J.; Starkloff, H.-J.; Wunderlich, R.

Title :

Asymptotic expansions of integral functionals of vector valued epsilon-correlated processes

Electronic source :

[gzipped dvi-file] 16 kB
[gzipped ps-file] 50 kB

Preprint series

Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 99-3, 1999

Mathematics Subject Classification :

60G12 [ General second order processes ]

34F05 [ ODE with randomness ]

41A60 [ Asymptotic problems in approximation ]

70L05 [ Random vibrations (general mechanics) ]

Abstract :

In the paper asymptotic expansions for second-order moments of integral functionals of a family of complex vector valued wide-sense stationary and epsilon-correlated random processes are considered. The asymptotic expansions are derived for epsilon tending to 0 and extend the results for real valued functionals to the complex vector valued case.

Keywords :

asymptotic expansion, second-order moment, random differential equation, weakly correlated process, stationary process, random vibration

Language :

english

Publication time :

4/1999