摘要
讨论了工程中经常遇到的两种随机过程,即Gauss过程和非Gauss过程,以及与此相关的两类随机积分,Ito积分与Stratonovich积分.对于Gauss过程Ito积分与Stratonovich积分之间存在着Wong-Zakai修正项;而对于非Gauss过程Ito积分与Stratonovich积分之间是否存在修正项,目前尚存争议.
This paper discusses two kinds of stochastic processes, i.e. Gauss process and non-Gauss process and two kinds of integrals, Ito integrals and Stratonovich integrals. For Gauss process, there is a correction term between Ito integrals and Stratonovich integrals. But for a Poisson pulse, the relationship between Ito integrals and Stratonovich integrals might be different.
出处
《力学与实践》
CSCD
北大核心
2002年第6期47-50,共4页
Mechanics in Engineering
基金
国家自然科学基金项目(19972010)资助.
