An extension of the path integral to non-linear systems driven by a Poissonian white noise process is presented. It is shown that at the limit when the time increment becomes infinitesimal the Kolmogorov- Feller equation is fully restored. Applications to linear and non-linear systems with different distribution of the Dirac's deltas occurrences are performed and results are compared with analytical solutions (when available) and Monte Carlo simulation.
Non-linear Systems Under Poisson White Noise Handled by Path Integral Solution.
SANTORO, Roberta
2008-01-01
Abstract
An extension of the path integral to non-linear systems driven by a Poissonian white noise process is presented. It is shown that at the limit when the time increment becomes infinitesimal the Kolmogorov- Feller equation is fully restored. Applications to linear and non-linear systems with different distribution of the Dirac's deltas occurrences are performed and results are compared with analytical solutions (when available) and Monte Carlo simulation.File in questo prodotto:
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