Integral representations of increments of stochastic processes

DOI10.1023/A:1019651606740MaRDI QIDQ1868321zbMATH OpenOpenAlexFDO

Authors Loren D. Lutes

Publication date 27 April 2003

Published in Meccanica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1019651606740

zbMATH Keywords

cumulantsmomentsstochastic dynamics

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Stochastic integral equations (60H20)

Review text

Instead of writing equations for the differentials of stochastic processes, an alternative path is followed: The increment of a stochastic process is represented as an integral of the derivative of the process. The latter is shown to be compatible with the Itô rule for non-Gaussian processes. An application is given to the nonstationary response of a system governed by a stochastic differential equation with parametric delta-correlated excitation.

Recommendations

• Integral Representations for Stochastic Processes with n‐th Stationary Increments
• Stochastic integration with respect to Gaussian processes.
• Integral representations of second order processes
• Quadrature of smooth stochastic processes
• Representation of Strongly Stationary Stochastic Processes

Cited in

(3)

• Random integral representation of operator-semi-self-similar processes with independent incre\-ments.
• Integral Representations for Stochastic Processes with n‐th Stationary Increments
• scientific article; zbMATH DE number 1380385 (Why is no real title available?)

This page was built for publication: Integral representations of increments of stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1868321)