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- W87605412 abstract "Correlation between the input noise and system dynamics is shown to be a unifying concept in the digital simulation of nonlinear stochastic systems. More specifically, in order to obtain a unique output time response, this correlation must be provided in addition to the nonliear system dynamic equations, initial conditions, and inputs. Based on first and second moment properties, it is shown that no correlation is present for the Ito stochastic integral, which corresponds to multi-step numerical integration formulas. In the same context, a nonzero correlation is obtained with the Stratonovich stochastic integral and with corresponding single-step (Runge-Kutta) numerical integration formulas. Digitally, this correlation is introduced by the repeated use of each noise increment in the evaluation of the integral. Numerical examples include an optimal nonlinear filter and an air pollution concentration model." @default.
- W87605412 created "2016-06-24" @default.
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- W87605412 date "1982-04-01" @default.
- W87605412 modified "2023-09-27" @default.
- W87605412 title "Correlation and moment properties relating numerical integration and stochastic integrals" @default.
- W87605412 hasPublicationYear "1982" @default.
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