In this paper the extension of the Path Integral to non-linear systems driven by Poissonian White Noise process is presented. It is shown that at the limit when the time increment becomes infinitesimal the Kolmogorov-Feller equation is fully restored. Applications to linear and non-linear systems with different distribution of the Dirac’s deltas occurrences are performed and results are compared with analytical solution (when available) and Monte-Carlo simulation.

Di Paola, M., & Santoro, R. (2008). Non-linear Systems Under Poisson White Noise Handled by Path Integral Solution. JOURNAL OF VIBRATION AND CONTROL, 14(1-2), 35-49 [10.1177/1077546307079386].

Non-linear Systems Under Poisson White Noise Handled by Path Integral Solution

DI PAOLA, Mario;
2008

Abstract

In this paper the extension of the Path Integral to non-linear systems driven by Poissonian White Noise process is presented. It is shown that at the limit when the time increment becomes infinitesimal the Kolmogorov-Feller equation is fully restored. Applications to linear and non-linear systems with different distribution of the Dirac’s deltas occurrences are performed and results are compared with analytical solution (when available) and Monte-Carlo simulation.
Settore ICAR/08 - Scienza Delle Costruzioni
Di Paola, M., & Santoro, R. (2008). Non-linear Systems Under Poisson White Noise Handled by Path Integral Solution. JOURNAL OF VIBRATION AND CONTROL, 14(1-2), 35-49 [10.1177/1077546307079386].
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10447/43482
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