A DIFFUSION PROCESS APPROACH TO A RANDOM EIGENVALUE PROBLEM

R NARAYANA IYENGAR, K B ATHREYA

Abstract


A second order linear differential equation with random coefficients is studied here with reference to the distribution of eigenvalues. The random coefficient is assumed to be a function of the standard Brownian motion. Employing Ito Calculus a partial differential equation for the joint density function of the eigenvalues is derived.

Keywords


Random Vibrations; eigenvalues; Brownian motion; Ito Calculus; diffusion equations.

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