Characteristics functionals of randomly excited physical systems

Z. Kotulski and K. Sobczyk

Physica A: Statistical Mechanics and its Applications, 1984, vol. 123, issue 1, 261-278

Abstract: This paper deals with charateristics functionals of the solutions of a wide class of stochastic differential equations describing random physical processes. First, a construction of the characteristics functional is shown in a general case of the stochastic evolution equation in Hilbert space. Then making use of the construction presented, the analysis of three random physical processes is performed: the random harmonic oscillator, random wave process and random heat conduction. Special attention in these applications is focused on the cases where an excitation process has the form of a sequence of randomly arriving impulses.

Date: 1984
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:123:y:1984:i:1:p:261-278

DOI: 10.1016/0378-4371(84)90115-8

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