Linear systems with randomly interrupted Gaussian white noise
- 7 October 1993
- journal article
- Published by IOP Publishing in Journal of Physics A: General Physics
- Vol. 26 (19) , 4849-4861
- https://doi.org/10.1088/0305-4470/26/19/018
Abstract
A linear process driven by additive Gaussian white noise, which is randomly interrupted by an exponentially correlated two-state (0,1) Markovian stochastic process, is considered. A characteristic function of the process is obtained using an approach based on conditional functionals for Markov processes. A single-event time dependent probability distribution is presented. Steady states are analysed in terms of stationary distributions and moments of the process. The deviation from Gaussianity (kurtosis) is investigated.Keywords
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