An alternative expression of Di Paola and Falson's formula for stochastic dynamics
Dynamical Systems
2012-02-14 v1 Mathematical Physics
math.MP
Probability
Data Analysis, Statistics and Probability
Abstract
Di Paola and Falsone's formula is widely used in studying stochastic dynamics of nonlinear systems under Poisson white noise. In this short communication, an alternative expression is presented. Compared to Di Paola and Falsone's original expression, the alternative one is applicable under more general condition, and shows significantly improved performance in numerical implementation. The alternative expression turns out to be a special case of the Marcus integrals.
Keywords
Cite
@article{arxiv.1202.2565,
title = {An alternative expression of Di Paola and Falson's formula for stochastic dynamics},
author = {Xu Sun and Jinqiao Duan and Xiaofan Li},
journal= {arXiv preprint arXiv:1202.2565},
year = {2012}
}
Comments
12 pages, 2 figures