An Entropy-Minimum Aspect of the Equivalent Linearization of a Nonlinear Stochastic Differential Equation
Open Access
- 1 July 1981
- journal article
- Published by Oxford University Press (OUP) in Progress of Theoretical Physics
- Vol. 66 (1) , 337-339
- https://doi.org/10.1143/PTP.66.337
Abstract
For a diffusion process determined by a stochastic differential equation with a constant diffusion, we introduce a relative (Kullback) entropy in a function space. We show minimization of this entropy yields the so-called Equivalent (Statistical) Linearization method which gives the best Gaussian solution.Keywords
This publication has 2 references indexed in Scilit:
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