The Wong-Zakai theorem for dynamical systems with parametric Poisson white noise excitation

被引：27

作者：

Proppe, C

机构：

[1] Leopold Franzens Univ, Inst Engn Mech, A-6020 Innsbruck, Austria

[2] Univ Magdeburg, Inst Engn Mech, D-39106 Magdeburg, Germany

来源：

INTERNATIONAL JOURNAL OF ENGINEERING SCIENCE | 2002年 / 40卷 / 10期

关键词：

Wong-Zakai theorem; Poisson white noise; stochastic differential equations;

D O I：

10.1016/S0020-7225(01)00087-8

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

The theorem of Wong and Zakai is applied to obtain a mathematical model for systems under random impulse excitation, in case that the excitation process tends to be delta-correlated. By means of the Wong-Zakai transformation, a class of reducible non-linear stochastic integro-differential equations is identified. Exact stationary probability density functions for reducible stochastic integro-differential equations are calculated. (C) 2002 Published by Elsevier Science Ltd.

引用

页码：1165 / 1178

页数：14

共 37 条

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