Abstract
Time-frequency analysis provides an effective description of the nonstationary random processes arising from random phenomena. These phenomena have typically a time-varying spectral content, which can be represented by using time-frequency distributions. The stochastic differential equation that models the nonstationary random process can be transformed in the time-frequency domain, and the properties of the resulting deterministic timefrequency equation clarify the nature of the nonstationary random process. We review the transformation to the time-frequency domain, and we prove the correctness of the obtained time-frequency equation.
Mathematics Subject Classification (2000). Primary 60H10.
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Galleani, L. (2011). Time-Frequency Characterization of Stochastic Differential Equations. In: Rodino, L., Wong, M., Zhu, H. (eds) Pseudo-Differential Operators: Analysis, Applications and Computations. Operator Theory: Advances and Applications(), vol 213. Springer, Basel. https://doi.org/10.1007/978-3-0348-0049-5_16
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DOI: https://doi.org/10.1007/978-3-0348-0049-5_16
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