Well-Behaved Itô Equations with Simulations that Always Misbehave

David J. Clements; Brian D.O. Anderson

doi:10.1109/TAC.1973.1100444

Well-Behaved Itô Equations with Simulations that Always Misbehave

David J. Clements
, Brian D.O. Anderson

Research output: Contribution to journal › Article › peer-review

12 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	676-677
Number of pages	2
Journal	IEEE Transactions on Automatic Control
Volume	18
Issue number	6
DOIs	https://doi.org/10.1109/TAC.1973.1100444
Publication status	Published - Dec 1973
Externally published	Yes

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10.1109/TAC.1973.1100444

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title = "Well-Behaved It{\^o} Equations with Simulations that Always Misbehave",

abstract = "It{\^o} 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.",

author = "Clements, \{David J.\} and Anderson, \{Brian D.O.\}",

year = "1973",

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journal = "IEEE Transactions on Automatic Control",

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AU - Clements, David J.

AU - Anderson, Brian D.O.

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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 - https://www.scopus.com/pages/publications/0015767782

U2 - 10.1109/TAC.1973.1100444

DO - 10.1109/TAC.1973.1100444

M3 - Article

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SN - 0018-9286

VL - 18

SP - 676

EP - 677

JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

IS - 6

ER -

Well-Behaved Itô Equations with Simulations that Always Misbehave

Abstract

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