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SIAMCO
2000

Spectral Analysis of Fokker--Planck and Related Operators Arising From Linear Stochastic Differential Equations

9 years 11 months ago
Spectral Analysis of Fokker--Planck and Related Operators Arising From Linear Stochastic Differential Equations
We study spectral properties of certain families of linear second-order differential operators arising from linear stochastic differential equations. We construct a basis in the Hilbert space of square-integrable functions using modified Hermite polynomials, and obtain a representation for these operators from which their eigenvalues and eigenfunctions can be computed. In particular, we completely describe the spectrum of the Fokker
Daniel Liberzon, Roger W. Brockett
Added 19 Dec 2010
Updated 19 Dec 2010
Type Journal
Year 2000
Where SIAMCO
Authors Daniel Liberzon, Roger W. Brockett
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