动力学系统中连续白噪声的数字仿真

在对有连续高斯白噪声作输入的线性连续动力学系统作数字仿真时，必须慎重选择随机数发生器的统计性质，以使系统得到“忠实”的反映。本文给出了随机数产生器的统计性质和连续随机过程的统计性质之间的关系，指出前者不仅依赖于后者及系统本身，还依赖于数字仿真中所采用的积分方法和积分步长。最后，以Ｅｕｌｅｒ积分和Ｒｕｎｇｅ－ｋｕｔｔａ积分为例，分别给出了相应的公式。

Simulation of Continuous White Noise in Dynamic Systems

In the simulation of linear continuous dynamic systems with continuous Gauss white noise asinput,the stochastic characteristics of random number generator must be selected carefully to assure thesystem being truely reflected.This paper gave the relation between the stochastic characteristics of randomnumber generator and continuous stochastic process,and pointed out that the former depends upon notnoly the latter and system itself but also the method and stepsize of the integration in simulation.Finally,the formula was given respectively for Euler ana Kunge-Kutta method.