Abstract
The purpose of this report is to introduce the engineer to the area of stochastic differential equations, and to point out the mathematical techniques and pitfalls in this area. Topics discussed include continuous-time Markov processes, the Fokker-Planck-Kolmogorov equations, the Ito and Stratonovich stochastic calculi, and the problem of modeling physical systems.
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Mortensen, R.E. Mathematical problems of modeling stochastic nonlinear dynamic systems. J Stat Phys 1, 271–296 (1969). https://doi.org/10.1007/BF01007481
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DOI: https://doi.org/10.1007/BF01007481