Year: 1991
Type: article
Abstract: —A closure method is proposed for calculating moments of the state vector of a non-linear system satisfying an Itô stochastic differential equation. It is based on a finite set of moment equations and a sequence of probabilities converging to the exact distribution of the state vector that is obtained by the minimization of an objective function. Numerical results for one-dimensional diffusion processes show that the proposed closure technique is robust in the sense that resultant moments are satisfactory even when crude approximations are used for the probability of the state vector.
Author: Mircea Grigoriu
Institution: Cornell University
Language: English
Subfield: Statistics, Probability and Uncertainty
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,750
OpenAlex ID: W2023203003