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Well-Behaved Itô Equations with Simulations that Always Misbehave

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Date

1973

Authors

Clements, David J.
Anderson, Brian D.O.

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Research Projects

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Abstract

Itô equations, including one arising in the theory of optimal filtering of a random telegraph wave, are examined. Although the solutions of the equations are always bounded, simulations of the equation on a digital computer lead to unbounded solutions.

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URI

https://hdl.handle.net/1885/733803172

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ANU Research Publications

Source

IEEE Transactions on Automatic Control

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Journal article

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Publication

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DOI

10.1109/TAC.1973.1100444

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