1. Approximation of a class of functional differential equations with wideband noise perturbations
- Author
-
George Yin, Chao Zhu, and Fuke Wu
- Subjects
Functional differential equation ,Differential equation ,Applied Mathematics ,010102 general mathematics ,Perturbation (astronomy) ,White noise ,01 natural sciences ,010101 applied mathematics ,Test functions for optimization ,Applied mathematics ,0101 mathematics ,Wideband ,Martingale (probability theory) ,Analysis ,Mathematics - Abstract
This work focuses on functional differential equations subject to wideband noise perturbations. Modeling using a white noise is often an idealization of the actual physical process, whereas a wideband noise can be easily realized in applications and well approximates a white noise. Using functional derivatives together with the combined perturbed test function methods and martingale techniques, this paper demonstrates that when a small parameter tends to zero, the underlying process converges to a limit that is the solution of a stochastic functional differential equation. To illustrate, an integro-differential system with wideband noise perturbation is examined as an example. Not only are the results interesting from a mathematical point of view, but also they are of utility to a wide range of applications.
- Published
- 2021
- Full Text
- View/download PDF