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

被引：28
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
收藏
页码：1165 / 1178
页数：14
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