Stochastic systems driven by alpha-stable noises

Ove Dalager Ditlevsen, P. Ditlevsen

    Research output: Chapter in Book/Report/Conference proceedingArticle in proceedingsResearchpeer-review


    It has almost become a standard in stochastic mechanics applications of stochasticdifferential equations that the driving forces are modeled as Gaussian white noises, that is, as scalar or vector Brownianmotion increments.However, this modeling may not always lead to responses that comply well with observed data. In particular the tailsof the observed response distributions may even for linear systems be more fat than the tails obtained for Gaussianwhite noise input. Also the excitation may show jumps that cannot be modeled by Gaussian white noise. The paper supports the possibility of using the larger class of so-calledalpha-stable white noises to provide a better fit. A geophysical application concerning ice age climate variations is described.
    Original languageEnglish
    Title of host publication12th Engineering Mechanics Division Conference
    Place of PublicationReston, VA, USA
    PublisherAmerican Society of Civil Engineers
    Publication date1998
    Publication statusPublished - 1998
    Event12th Engineering Mechanics Division Conference - San Diego, United States
    Duration: 17 May 199820 May 1998
    Conference number: 12


    Conference12th Engineering Mechanics Division Conference
    Country/TerritoryUnited States
    CitySan Diego

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