The approach to normality of the solutions of random boundary and eigenvalue problems with weakly correlated coefficients
Authors:
William E. Boyce and Ning Mao Xia
Journal:
Quart. Appl. Math. 40 (1983), 419-445
MSC:
Primary 34F05; Secondary 34B25, 60H10
DOI:
https://doi.org/10.1090/qam/693876
MathSciNet review:
693876
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Abstract: A general class of linear self-adjoint random boundary value problems with weakly correlated coefficients is considered. The earlier result that the distribution function of the solution approaches the normal as the correlation length $\epsilon$ tends to zero is generalized somewhat. Correction terms are derived that yield estimates for the distribution function when $\epsilon$ is small but nonzero. The results are also applied to the eigenvalues and eigenfunctions of a corresponding class of random eigenvalue problems. The discussion is given in terms of second-order equations, but extensions to higher-order problems are readily apparent.
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G. E. Uhlenbeck and L. S. Ornstein, On the theory of Brownian motion, Phys. Rev. 36, 823–841 (1930)
William E. Boyce, Stochastic nonhomogeneous Sturm-Liouville problems, J. Franklin Inst. 282, 206–215 (1966)
B. V. Gnedenko and A. N. Kolmogorov, Limit distributions for sums of independent random variables, Addison-Wesley Publishing Co., Inc., Cambridge, Massachusetts, 1954
W. Purkert and J. vom Scheidt, Zur approximativen Lösung des Mittelungsproblems für die Eigenwerte stochastischer Differentialoperatoren, ZAMM 57, 515–525 (1977)
W. Purkert and J. vom Scheidt, Randwertprobleme mit schwach korrelierten Prozessen als Koeffizienten, in Transactions of Eighth Prague Conference on Information Theory, Statistical Decision Functions, and Random Processes B, 107–118 (1978)
W. Purkert and J. vom Scheidt, Ein Grenzverteilungssatz für stochastische Eigenwertprobleme, ZAMM 59, 611–623 (1979)
W. Purkert and J. vom Scheidt, Stochastic eigenvalue problems for differential equations, Rep. Math. Phys. 15, 205–227 (1979)
J. vom Scheidt and W. Purkert, Limit theorems for solutions of stochastic differential equation problems, Int. J. Math, and Math. Sci. 3, 113–149 (1980)
G. E. Uhlenbeck and L. S. Ornstein, On the theory of Brownian motion, Phys. Rev. 36, 823–841 (1930)
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Article copyright:
© Copyright 1983
American Mathematical Society