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The approximate solutions of FPK equations in high dimensions for some nonlinear stochastic dynamic systems
Er,Guo Kang; Iu,Vai Pan
2011
Source PublicationCommunications in Computational Physics
ISSN1815-2406
Volume10Issue:5Pages:1241-1256
Abstract

The probabilistic solutions of the nonlinear stochastic dynamic (NSD) systems with polynomial type of nonlinearity are investigated with the subspace-EPC method. The space of the state variables of large-scale nonlinear stochastic dynamic system excited by white noises is separated into two subspaces. Both sides of the Fokker-Planck-Kolmogorov (FPK) equation corresponding to the NSD system is then integrated over one of the subspaces. The FPK equation for the joint probability density function of the state variables in another subspace is formulated. Therefore, the FPK equation in low dimensions is obtained from the original FPK equation in high dimensions and it makes the problem of obtaining the probabilistic solutions of largescale NSD systems solvable with the exponential polynomial closure method. Examples about the NSD systems with polynomial type of nonlinearity are given to show the effectiveness of the subspace-EPC method in these cases. © 2011 Global-Science Press.

KeywordFokker-planck-kolmogorov Equation Large-scale Systems Nonlinear Stochastic Dynamic Systems Probability Density Function Subspace
DOI10.4208/cicp.140710.210111a
URLView the original
Language英語English
WOS IDWOS:000298764200007
Scopus ID2-s2.0-80051752358
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Document TypeJournal article
CollectionUniversity of Macau
AffiliationFaculty of Science and Technology,University of Macau,Macau,China
First Author AffilicationFaculty of Science and Technology
Recommended Citation
GB/T 7714
Er,Guo Kang,Iu,Vai Pan. The approximate solutions of FPK equations in high dimensions for some nonlinear stochastic dynamic systems[J]. Communications in Computational Physics, 2011, 10(5), 1241-1256.
APA Er,Guo Kang., & Iu,Vai Pan (2011). The approximate solutions of FPK equations in high dimensions for some nonlinear stochastic dynamic systems. Communications in Computational Physics, 10(5), 1241-1256.
MLA Er,Guo Kang,et al."The approximate solutions of FPK equations in high dimensions for some nonlinear stochastic dynamic systems".Communications in Computational Physics 10.5(2011):1241-1256.
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