vom Scheidt, J.; Starkloff, H.-J.; Wunderlich, R. : Low-dimensional approximations and error estimates for systems of linear random ODEs

Author(s) :

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

Title :

Low-dimensional approximations and error estimates for systems of linear random ODEs

Electronic source :

[gzipped dvi-file] 38 kB
[gzipped ps-file] 121 kB

Preprint series

Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 2000-15, 2000

Mathematics Subject Classification :

34F05 [ ODE with randomness ]

60H10 [ Stochastic ordinary differential equations ]

60G10 [ Stationary processes ]

93A15 [ Large scale systems ]

Abstract :

The paper considers large-scale systems of linear ODEs with stationary random excitation terms. Approximations of the correlation and spectral density functions of the stationary solutions are found by means of model reduction techniques. To assess the approximation accuracy suitable error criterions are introduced and error estimates are given.

Keywords :

linear random differential equation, stationary stochastic processes, model reduction, low-dimensional approximation

Language :

english

Publication time :

12/2000