Dieses Dokument steht unter einer CreativeCommons Lizenz by-nc-nd/4.0
Verlagslink DOI: 10.1016/j.piutam.2016.03.023
Titel: Analytical and semi-analytical solutions of some fundamental nonlinear stochastic differential equations
Sprache: English
Autor/Autorin: Dostal, Leo 
Kreuzer, Edwin 
Schlagwörter: stochastic averaging;Gaussian mixture;Duffing oscillator;stochastic differential equations;Hamiltonian system
Erscheinungsdatum: 2016
Verlag: Elsevier
Quellenangabe: Procedia IUTAM (19): 178-186 (2016-01-01)
Zeitschrift oder Schriftenreihe: Procedia IUTAM 
Konferenz: IUTAM Symposium Analytical Methods in Nonlinear Dynamics 
Zusammenfassung (englisch): We are interested in perturbed Hamiltonian systems in a plane, which are damped and excited by an absolutely regular non-white Gaussian process. We use two methods for the determination of analytical and semi-analytical solutions to such nonlinear stochastic differential equations (SDE). The first method is based on a limit theorem by Khashminskii, from which a class of methods was derived known as stochastic averaging. From the drift and diffusion of the resulting averaged process, probability density functions and mean exit times can be easily obtained. The second method enables the determination of a Gaussian mixture representation for probability density functions of SDE's. This method was proposed by Pradlwarter and is known as Local Statistical Linearization. The error evolution of such Gaussian mixture shows promising results for further research.
URI: http://tubdok.tub.tuhh.de/handle/11420/1883
DOI: 10.15480/882.1880
ISSN: 2210-9838
Institut: Mechanik und Meerestechnik M-13 
Dokumenttyp: (wissenschaftlicher) Artikel
Enthalten in den Sammlungen:Publications (tub.dok)

Dateien zu dieser Ressource:
Datei Beschreibung GrößeFormat
1-s2.0-S2210983816000249-main.pdfVerlags-PDF235,06 kBAdobe PDFÖffnen/Anzeigen
Zur Langanzeige

Seitenansichten

9
Letzte Woche
0
Letzten Monat
1
checked on 20.03.2019

Download(s)

4
checked on 20.03.2019

Google ScholarTM

Prüfe

Export

Diese Ressource wurde unter folgender Copyright-Bestimmung veröffentlicht: Lizenz von Creative Commons Creative Commons