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

SAGE Publications - Tập 14 Số 1-2 - Trang 35-49 - 2008
Mario Di Paola1, Roberta Santoro1
1Dipartimento di Ingegneria, Strutturale e Geotecnica, Università degli Studi di Palermo, Viale delle Scienze, 90128 Palermo, Italy

Tóm tắt

An extension of the path integral to non-linear systems driven by a 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 solutions (when available) and Monte Carlo simulation.

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