✦ LIBER ✦

Linear systems with polynomials of filtered Poisson processes

✍ Scribed by Mircea Grigoriu; Federico Waisman

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 477 KB
Volume: 12
Category: Article
ISSN: 0266-8920
DOI: 10.1016/s0266-8920(96)00029-x

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✦ Synopsis

Moment equations are calculated exactly for the response of linear systems subjected polynomials of filtered Poisson processes. The It6 formula for stochastic differential equations driven by Poisson white noise is applied to derive moment equations. It is shown that the set of moment equations is closed. The proposed method is used to calculate moments up to the fourth order for the response of two linear systems subjected to quadratic forms of filtered Poisson processes. Results by Monte Carlo simulations are also presented for comparison.

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