Algebra & Trigonometry with Analytic Geometry
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN: 9781133382119
Author: Swokowski
Publisher: Cengage
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Question 3
Consider the following deterministic ODE describing the harmonic oscillator problem
3.1 Show that
3.2 Now consider (3) perturbed by noise
dX = Ydt,
dY
==
-Xdt.
:(X² (t) + Y²(t)) = 0
(x² (t) +
(3a)
(3b)
dX = Ydt
dYXdtydW
(4a)
(4b)
where W(t), is a one dimensional Brownian motion. Show using Ito's formula that the following ODE holds for
the average energy of the system E(t) = E(X²(t) + Y²(t))
dE(t)
dt
(5)
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Transcribed Image Text:Question 3 Consider the following deterministic ODE describing the harmonic oscillator problem 3.1 Show that 3.2 Now consider (3) perturbed by noise dX = Ydt, dY == -Xdt. :(X² (t) + Y²(t)) = 0 (x² (t) + (3a) (3b) dX = Ydt dYXdtydW (4a) (4b) where W(t), is a one dimensional Brownian motion. Show using Ito's formula that the following ODE holds for the average energy of the system E(t) = E(X²(t) + Y²(t)) dE(t) dt (5)
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Algebra & Trigonometry with Analytic Geometry
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ISBN:9781133382119
Author:Swokowski
Publisher:Cengage