An alternative expression for stochastic dynamical systems with parametric Poisson white noise
نویسندگان
چکیده
Di Paola and Falsone’s formula is widely used in expressing a correction term to the usual Ito integral in stochastic dynamical systems with parametric Poisson white noise. An alternative expression is presented here. Comparing with Di Paola and Falsone’s original expression, the alternative one is applicable under more general conditions, and shows significantly improved performance in numerical implementation. The alternative expression turns out to be a special case of the Marcus integrals. & 2013 Elsevier Ltd. All rights reserved.
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