Stochastic integral/calculus for non-Gaussian delta-correlated processes
Date of Original Version
In recent years there have been many publications studying dynamic systems subjected to non-Gaussian delta-correlated processes, but only a few address the fundamental stochastic integral and calculus associated with this kind of processes. Di Paola and Falson (1993) has attempted to derive the stochastic integral and calculus for non-Gaussian delta-correlated processes (called generalized Ito stochastic integral and calculus), but their derivations are not without controversy. This article, following an engineering-oriented proof approach, shows peculiar properties associated with generalized Ito stochastic integrals and calculus. Some results derived in this study are found in fundamental disagreement with those by Di Paola and Falson (1993).
Publication Title, e.g., Journal
Probabilistic Mechanics and Structural and Geotechnical Reliability, Proceedings of the Specialty Conference
Hu, Sau-Lon J.. "Stochastic integral/calculus for non-Gaussian delta-correlated processes." Probabilistic Mechanics and Structural and Geotechnical Reliability, Proceedings of the Specialty Conference (1996): 246-249. https://digitalcommons.uri.edu/oce_facpubs/292