Integral representations of increments of stochastic processes (Q1868321)

Instead of writing equations for the differentials of stochastic processes, an alternative path is followed: The increment of a stochastic process is represented as an integral of the derivative of the process. The latter is shown to be compatible with the Itô rule for non-Gaussian processes. An application is given to the nonstationary response of a system governed by a stochastic differential equation with parametric delta-correlated excitation.