Stochastic Dynamics of Nonlinear Systems Driven by Non-normal Delta-Correlated Processes

TLDR: In this article, a new interpretation of the stochastic differential calculus allows first a full explanation of the presence of the Wong-Zakai or Stratonovich correction terms in the Ito's differential rule, and then this rule is extended to take into account the nonnormality of the input.

Abstract: In this paper, nonlinear systems subjected to external and parametric non-normal delta-correlated stochastic excitations are treated. A new interpretation of the stochastic differential calculus allows first a full explanation of the presence of the Wong-Zakai or Stratonovich correction terms in the Ito’s differential rule. Then this rule is extended to take into account the non-normality of the input. The validity of this formulation is confirmed by experimental results obtained by Monte Carlo simulations.