TY - JOUR
T1 - Well-Behaved Itô Equations with Simulations that Always Misbehave
AU - Clements, David J.
AU - Anderson, Brian D.O.
PY - 1973/12
Y1 - 1973/12
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0015767782&partnerID=8YFLogxK
U2 - 10.1109/TAC.1973.1100444
DO - 10.1109/TAC.1973.1100444
M3 - Article
AN - SCOPUS:0015767782
SN - 0018-9286
VL - 18
SP - 676
EP - 677
JO - IEEE Transactions on Automatic Control
JF - IEEE Transactions on Automatic Control
IS - 6
ER -