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

DOI10.1142/S0218202599000555zbMath1009.60067OpenAlexW2091781708MaRDI QIDQ4799023

Yevgeny V. Mamontov, Magnus Willander

Publication date: 16 March 2003

Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218202599000555

zbMATH Keywords

spectral densitycovarianceintegral formulaanalytical resultsnonlinearities of the drift function

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cites Work

• Long asymptotic correlation time for non-linear autonomous Itô's stochastic differential equation
• Spectral density of a nonlinear single-degree-of-freedom system's response to a white-noise random excitation: A unique case of an exact solution
• Power Spectral Density of Nonlinear System Response: The Recursion Method
• The spectral density of the nonlinear damping model: single DOF case
• The spectral density of a nonlinear damping model: multi-DOF case
• MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART I: APPROXIMATIONS FOR EXPECTATION AND VARIANCE OF NONSTATIONARY PROCESS

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