Low-dimensional approximations and error estimates for
systems of linear random ODEs
Jürgen vom Scheidt, Hans-Jörg Starkloff and Ralf Wunderlich
Preprint 2000-15, TU Chemnitz, Faculty of Mathematics
The paper considers large-scale systems of linear ODEs with stationary random excitation terms. Approximations of the correlation and spectral density functions of the stationary solutions are found by means of model reduction techniques. To assess the approximation accuracy suitable error criterions are introduced and error estimates are given.