A note on the Ito and Stratonovich stochastic relative degree and normal form
Author(s)
Mellone, Alberto
Scarciotti, Giordano
Type
Conference Paper
Abstract
In this note we compare two notions of stochastic relative degree. Specifically, we consider nonlinear stochastic systems defined by the same stochastic differential equation and interpreted in either Ito’s or Stratonovich’s sense. We then recall the Ito stochastic relative degree and we introduce the concept of Stratonovich stochastic relative degree and Stratonovich normal form. We show, by means of examples, that the stochastic relative degrees arising from the two different interpretations of the same stochastic differential equations are, in general, different. We finally point out that this discrepancy can be eliminated through conversion formulas between Ito and Stratonovich integrals.
Date Issued
2021-01-11
Date Acceptance
2020-07-16
Citation
2021
Publisher
IEEE
Identifier
https://ieeexplore.ieee.org/abstract/document/9304504?casa_token=VpNnE08wcNMAAAAA:CMxtCuNlR3AJ7q1uaHSYQRkDhq4I1f2QtBrTYIBKmDRF15A1ltq-Yfg1Wc4AHylCXDApHedJ
Source
2020 IEEE Conference on Decision and Control (CDC)
Subjects
Science & Technology
Technology
Automation & Control Systems
Engineering, Electrical & Electronic
Engineering
Publication Status
Published online
Start Date
2020-12-14
Finish Date
2020-12-18
Coverage Spatial
Virtual
Date Publish Online
2021-01-11