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Parametric Models And Stochastic Integrals

  • M. Grigoriu
Conference paper
Part of the Solid Mechanics and its Applications book series (SMIA, volume 47)

Abstract

Solutions of linear and nonlinear stochastic differential equations describing the response of dynamic systems with random input can be expressed as stochastic integrals involving the input and the system state vector. The stochastic integrals can be defined in the Itô or the Stratonovich sense [16]. These integrals become ordinary Stieltjes integrals in some cases if the input can be described by parametric models. Parametric models can also be used efficiently in Monte Carlo simulation studies [6,14].

Keywords

Characteristic Function Gaussian Process Stochastic Differential Equation Bernstein Polynomial Random Vibration 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Kluwer Academic Publishers 1996

Authors and Affiliations

  • M. Grigoriu
    • 1
  1. 1.Cornell UniversityIthacaUSA

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