LINEAR-SYSTEMS WITH POLYNOMIALS OF FILTERED POISSON PROCESSES

Moment equations are calculated exactly for the response of linear sys tems subjected polynomials of filtered Poisson processes. The Ito form ula for stochastic differential equations driven by Poisson white nois e is applied to derive moment equations. It is shown that the set of m oment equations is closed. The proposed method is used to calculate mo ments up to the fourth order for the response of two linear systems su bjected td quadratic forms of filtered Poisson processes. Results by M onte Carlo simulations are also presented for comparison. (C) 1997 Els evier Science Ltd.