Limit search to available items
Book Cover
Book
Author Soize, Christian.

Title The Fokker-Planck equation for stochastic dynamical systems and its explicit steady state solutions / C. Soize
Published Singapore ; Teaneck, N.J. : World Scientific, [1994]
©1994

Copies

Location Call no. Vol. Availability
 MELB  530.132 Soi/Fpe  AVAILABLE
Description xv, 321 pages ; 23 cm
Series Series on advances in mathematics for applied sciences ; v. 17
Series on advances in mathematics for applied sciences ; v. 17
Contents Preface; Contents; General Notations; CHAPTER I Stochastic Canonical Equation of Multidimensional Nonlinear Dissipative Hamiltonian Dynamical Systems; 1. Introduction; 2. General Equation of Stochastic Nonlinear Dissipative Hamiltonian Dynamical Systems; 3. General Considerations on the Kinetic Energy; 4. Modeling of the Kinetic Energy and Mass Matrix; 5. Generalized Potential, Potential Energy Function and Lagrangian; 6. Generalized Momentum and Hamiltonian; 7. Energy Function; 8. Total Energy of the Dynamical System; 9. Model of the Hamiltonian
1. Introduction
10. Generalized Momentum and Generalized Velocity11. Modeling of the Nonconservative Generalized Force; 12. Quasi-Linear Term in the Generalized Velocity; 13. Quasi-Linear Damping Term; 14. Quasi-Linear Gyroscopic Term; 15. External Stochastic Excitation; 16. Stochastic Parametric Excitation Term; CHAPTER II Fundamental Examples of Nonlinear Dynamical Systems and Associated Second-Order Equation; 1. Introduction; 2. Second-Order Equation Associated with the Dissipative Hamiltonian Dynamical System; 3. Examples for Multidimensional Nonlinear Oscillators Under External Random Excitations
4. Examples for Multidimensional Nonlinear Oscillators Under Parametric and External Random Excitations5. Remark Concerning Modeling of Hysteresis Loops; 6. Complements on the Potential Energy Function; Generalized Restoring Force-Displacement Relationship; Potential Energy Function and Generalized Restoring Force-Displacement Relationship; CHAPTER III Brief Review of Probability and Random Variables; 1. Introduction; 2. Principles of Probability and Random Variables; Principles of Probability Theory and Probability Space in Stochastic Modeling; Conditional Probability and Independence
Cross-Covariance Matrix5. Classical Examples of Probability Laws; 6. Transformations of Random Variables with Values in Rn; General Result for a Nonlinear Bijective Mapping; The Use of Characteristic Functions; Second-Order Calculation; 7. Convergence of a Sequence of Random Variables with Values in Rn; Mean-Square Convergence or Convergence in L2(.4,Rn); Convergence in Probability or Stochastic Convergence; Almost Sure Convergence; Convergence in Law or in Distribution; Relationships Between the Four Modes of Convergence; CHAPTER IV Probabilistic Tools I. Classical Stochastic Processes
Negligible Subsets, Properties Almost Surely TrueCausality Principle and Random Variable; 3. Random Variable with Values in Rn; Probability Law of a Random Variable with Values in Rn; Almost Sure Equality of Random Variables with Values in Rn; Integration of Random Variables with Values in Rn; Characteristic Function of a Random Variable with Values in Rn; Moments of a Random Variable with Values in Rn; Tchebychev Inequality; 4. Second-Order Random Variable with Values in Rnand L2(A,Rn)-Space; Mean Vector; Correlation Matrix; Covariance Matrix; Cross-Correlation Matrix
Summary This is an analysis of multidimensional nonlinear dissipative Hamiltonian dynamical systems subjected to parametric and external stochastic excitations by the Fokker-Planck equation method.The author answers three types of questions concerning this area. First, what probabilistic tools are necessary for constructing a stochastic model and deriving the FKP equation for nonlinear stochastic dynamical systems? Secondly, what are the main results concerning the existence and uniqueness of an invariant measure and its associated stationary response? Finally, what is the class of multidimensional dy
Notes Description based upon print version of record
Bibliography Includes bibliographical references (pages 301-314) and index
Notes English
Subject Diffusion processes.
Fokker-Planck equation -- Numerical solutions.
Mathematical physics.
Hamiltonian systems.
Stochastic differential equations -- Numerical solutions.
LC no. 94006348
ISBN 9810217552
Other Titles FOKKER-PLANCK EQUATION FOR STOCHASTIC DYNAMICAL SYSTEMS AND ITS EXPLICIT STEADY STATE SOLUTIONS, THE
Series On Advances In Mathematics For Applied Sciences vol. 17
Series On Advances In Mathematics For Applied Sciences, Volume 17
Series on Advances in Mathematics for Applied Sciences