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State-space-split method for some generalized Fokker-Planck-Kolmogorov equations in high dimensions
Er G.-K.; Iu V.P.
2012-06-20
Source PublicationPhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
ISSN15393755 15502376
Volume85Issue:6
Abstract

The state-space-split method for solving the Fokker-Planck-Kolmogorov equations in high dimensions is extended to solving the generalized Fokker-Planck-Kolmogorov equations in high dimensions for stochastic dynamical systems with a polynomial type of nonlinearity and excited by Poissonian white noise. The probabilistic solution of the motion of the stretched Euler-Bernoulli beam with cubic nonlinearity and excited by uniformly distributed Poissonian white noise is analyzed with the presented solution procedure. The numerical analysis shows that the results obtained with the state-space-split method together with the exponential polynomial closure method are close to those obtained with the Monte Carlo simulation when the relative value of the basic system relaxation time and the mean arrival time of the Poissonian impulse is in some limited range. © 2012 American Physical Society.

DOI10.1103/PhysRevE.85.067701
URLView the original
Language英語English
WOS IDWOS:000305566800012
Scopus ID2-s2.0-84862869093
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Document TypeJournal article
CollectionFaculty of Science and Technology
AffiliationUniversidade de Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Er G.-K.,Iu V.P.. State-space-split method for some generalized Fokker-Planck-Kolmogorov equations in high dimensions[J]. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics, 2012, 85(6).
APA Er G.-K.., & Iu V.P. (2012). State-space-split method for some generalized Fokker-Planck-Kolmogorov equations in high dimensions. Physical Review E - Statistical, Nonlinear, and Soft Matter Physics, 85(6).
MLA Er G.-K.,et al."State-space-split method for some generalized Fokker-Planck-Kolmogorov equations in high dimensions".Physical Review E - Statistical, Nonlinear, and Soft Matter Physics 85.6(2012).
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