Gauss白噪声与非Gauss白噪声  

GAUSS WHITE NOISE AND NON-GAUSS WHITE NOISE

作　　者：尚玫[1] 梅凤翔[1] 

机构地区：[1]北京理工大学应用力学系,北京100081

出　　处：《力学与实践》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.

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.

关 键 词：GAUSS过程 非Gauss过程 白噪声 随机积分 修正项 随机激励 

分 类 号：TB123[理学—工程力学]