Approximate Transition Probability Density Functions for a Class of Coupled Nonlinear Stochastic Differential Equations

Author(s):  
Antonios Meimaris ◽  
Ioannis Kougioumtzoglou ◽  
Athanasios Pantelous
Author(s):  
Masanori Shintani ◽  
Hiroyuki Ikuta ◽  
Hajime Takada

In this paper, the transition probability density functions between response velocity and response displacement in nonlinear vibration systems which have the restoring force characteristic of a cubic equation are governed by the Fokker-Planck Equation. The experimental probability density functions are compared with analytical results. The analytical model of the cubic equation as Duffing Equation is proposed by the restoring force characteristic of the nonlinear vibration system with gaps in the experiments. However, a slight difference for the frequency range of the transfer function was shown by simulation results. Then, it is considered using transition probability density functions in the response characteristic. For stationary random input waves, the probability density function between the response displacement and the response velocity are easily estimated by the Fokker-Planck Equation and the Duffing Equation. The slight difference of the transfer function of the response acceleration is evaluated by the scattering of the restoring force characteristic estimated by the probability density function and self-natural frequency curve. The R.M.S. value and the transfer function of the experimental results are compared with the analytical results. It is thought that the estimation of the probability density function of the response has validity. It is thought that the evaluation of the nonlinear vibration characteristics by the probability density function is valid.


2018 ◽  
Vol 22 ◽  
pp. 178-209
Author(s):  
Arturo Kohatsu-Higa ◽  
Gô Yûki

In this manuscript, we consider stochastic expressions of the parametrix method for solutions of d-dimensional stochastic differential equations (SDEs) with drift coefficients which belong to Lp(Rd), p > d. We prove the existence and Hölder continuity of probability density functions for distributions of solutions at fixed points and obtain an explicit expansion via (stochastic) parametrix methods. We also obtain Gaussian type upper and lower bounds for these probability density functions.


Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 818
Author(s):  
Virginia Giorno ◽  
Amelia G. Nobile

General methods to simulate probability density functions and first passage time densities are provided for time-inhomogeneous stochastic diffusion processes obtained via a composition of two Gauss–Markov processes conditioned on the same initial state. Many diffusion processes with time-dependent infinitesimal drift and infinitesimal variance are included in the considered class. For these processes, the transition probability density function is explicitly determined. Moreover, simulation procedures are applied to the diffusion processes obtained starting from Wiener and Ornstein–Uhlenbeck processes. Specific examples in which the infinitesimal moments include periodic functions are discussed.


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