An analytical-numerical method for fast evaluation of probability densities for transient solutions of nonlinear Itô's stochastic differential equations (Q541096): Difference between revisions

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English	An analytical-numerical method for fast evaluation of probability densities for transient solutions of nonlinear Itô's stochastic differential equations	scientific article

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instance of

scholarly article

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title

An analytical-numerical method for fast evaluation of probability densities for transient solutions of nonlinear Itô's stochastic differential equations (English)

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International Journal of Engineering Science

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publication date

4 June 2011

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zbMATH Keywords

Itô's stochastic differential equation

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transition probability density

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analytical-numerical method

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damping matrix

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motion of ship in stochastic sea

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stochastic rolling of ship

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ijengsci.2008.08.001

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0 references

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Stability and capsizing of ships in random sea -- a survey

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The nonlinear dynamics of ship motions: a field overview and some recent developments

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Markov modelling and stochastic identification for nonlinear ship rolling in random waves

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The solution of the nonlinear Boltzmann equation: A survey of analytic and computational methods

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Stochastic partial differential equations in continuum physics - on the foundations of the stochastic interpolation method for Ito's type equations

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MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART II: APPROXIMATIONS FOR COVARIANCE AND SPECTRAL DENSITY OF STATIONARY PROCESS

0 references

LOOKING FOR NEW PARADIGMS TOWARDS A BIOLOGICAL-MATHEMATICAL THEORY OF COMPLEX MULTICELLULAR SYSTEMS

0 references

Modeling complex living systems. A kinetic theory and stochastic game approach.

0 references

Q3806731

0 references

Response probability density functions of strongly non-linear systems by the path integration method

0 references

Stochastic spur gear dynamics by numerical path integration

0 references

Homeorhesis-based modelling and fast numerical analysis for oncogenic hyperplasia under radiotherapy

0 references

Dynamic-equilibrium solutions of ordinary differential equations and their role in applied problems

0 references

Nonstationary invariant distributions and the hydrodynamics-style generalization of the Kol\-mo\-gorov-forward/Fokker-Planck equation

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Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung

0 references

Diffusion Processes in One Dimension

0 references

Q5653395

0 references

Q3254327

0 references

Q5724171

0 references

Identifiers

zbMATH Open document ID

1213.60103

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Mathematics Subject Classification ID

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10.1016/J.IJENGSCI.2008.08.001

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Sitelinks

Mathematics(1 entry)

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+Itô's stochastic differential equation
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+transition probability density
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+damping matrix
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+Stability and capsizing of ships in random sea -- a survey
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+The nonlinear dynamics of ship motions: a field overview and some recent developments
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+Markov modelling and stochastic identification for nonlinear ship rolling in random waves
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+The solution of the nonlinear Boltzmann equation: A survey of analytic and computational methods
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+Stochastic partial differential equations in continuum physics - on the foundations of the stochastic interpolation method for Ito's type equations
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@@ Property / cites work @@
+MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART II: APPROXIMATIONS FOR COVARIANCE AND SPECTRAL DENSITY OF STATIONARY PROCESS
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@@ Property / cites work @@
+LOOKING FOR NEW PARADIGMS TOWARDS A BIOLOGICAL-MATHEMATICAL THEORY OF COMPLEX MULTICELLULAR SYSTEMS
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@@ Property / cites work @@
+Modeling complex living systems. A kinetic theory and stochastic game approach.
+Normal rank
@@ Property / cites work @@
+Q3806731
@@ Property / cites work: Q3806731 / rank @@
+Normal rank
@@ Property / cites work @@
+Response probability density functions of strongly non-linear systems by the path integration method
+Normal rank
@@ Property / cites work @@
+Stochastic spur gear dynamics by numerical path integration
+Normal rank
@@ Property / cites work @@
+Homeorhesis-based modelling and fast numerical analysis for oncogenic hyperplasia under radiotherapy
+Normal rank
@@ Property / cites work @@
+Dynamic-equilibrium solutions of ordinary differential equations and their role in applied problems
+Normal rank
@@ Property / cites work @@
+Nonstationary invariant distributions and the hydrodynamics-style generalization of the Kol\-mo\-gorov-forward/Fokker-Planck equation
+Normal rank
@@ Property / cites work @@
+Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
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