Imperial College London
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DrGiordanoScarciotti

Faculty of Engineering, Department of Electrical and Electronic Engineering

Senior Lecturer
 
 
 
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Contact

 

+44 (0)20 7594 6268g.scarciotti Website

 
 
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Location

 

1118Electrical EngineeringSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@inproceedings{Mellone:2021,
author = {Mellone, A and Scarciotti, G},
publisher = {IEEE},
title = {A note on the Ito and Stratonovich stochastic relative degree and normal form},
url = {https://ieeexplore.ieee.org/abstract/document/9304504?casa_token=VpNnE08wcNMAAAAA:CMxtCuNlR3AJ7q1uaHSYQRkDhq4I1f2QtBrTYIBKmDRF15A1ltq-Yfg1Wc4AHylCXDApHedJ},
year = {2021}
}
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RIS format (EndNote, RefMan)

TY  - CPAPER
AB  - In this note we compare two notions of stochastic relative  degree.  Specifically,  we  consider  nonlinear  stochastic systems  defined  by  the  same  stochastic  differential  equation and  interpreted  in  either  Ito’s  or  Stratonovich’s  sense.  We then  recall  the  Ito  stochastic  relative  degree  and  we  introduce the   concept   of   Stratonovich   stochastic   relative   degree   and Stratonovich  normal  form.  We  show,  by  means  of  examples, that the stochastic relative degrees arising from the two different interpretations of the same stochastic differential equations are, in general, different. We finally point out that this discrepancy can be eliminated through conversion formulas between Ito and Stratonovich  integrals.
AU  - Mellone,A
AU  - Scarciotti,G
PB  - IEEE
PY  - 2021///
TI  - A note on the Ito and Stratonovich stochastic relative degree and normal form
UR  - https://ieeexplore.ieee.org/abstract/document/9304504?casa_token=VpNnE08wcNMAAAAA:CMxtCuNlR3AJ7q1uaHSYQRkDhq4I1f2QtBrTYIBKmDRF15A1ltq-Yfg1Wc4AHylCXDApHedJ
UR  - http://hdl.handle.net/10044/1/84912
ER  -
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