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State-space-split method for some generalized Fokker-Planck-Kolmogorov equations in high dimensions
Er,Guo Kang; Iu,Vai Pan
2012-06-20
Source PublicationPhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
ISSN1539-3755
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
CollectionUniversity of Macau
AffiliationFaculty of Science and Technology,University of Macau,Macau Special Administrative Region,Macao
First Author AffilicationFaculty of Science and Technology
Recommended Citation
GB/T 7714
Er,Guo Kang,Iu,Vai Pan. 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,Guo Kang., & Iu,Vai Pan (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,Guo Kang,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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