Spectral density of piecewise linear first order systems excited by white noise

@inproceedings{Atkinson1968SpectralDO,
  title={Spectral density of piecewise linear first order systems excited by white noise},
  author={Joshua D. Atkinson and T. K. Caughey},
  year={1968}
}
Abstract The Fokker-Planck equation is used to develop a general method for finding the spectral density and other properties of first order systems governed by stochastic differential equations of the form dx dt + f(x) = n(t), where f(x) is piecewise linear and n(t) is stationary Gaussian white noise. For such systems, it is shown how the Laplace transformed Fokker-Planck equation can be solved to obtain the transformed transition probability density. By manipulation of this equation and its… CONTINUE READING

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