A stochastic diffusion process for Lochner's generalized Dirichlet distribution

DOI10.1063/1.4822416MaRDI QIDQ5410885zbMATH OpenOpenAlexFDO

Authors Jozsef Bakosi, J. R. Ristorcelli

Publication date 17 April 2014

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.3490

zbMATH Keywords

diffusion processDirichlet distributionFokker-Planck equationstransport equation

Mathematics Subject Classification ID

Fokker-Planck equations (35Q84) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Transport processes in time-dependent statistical mechanics (82C70)

Abstract: The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N stochastic variables with Lochner's generalized Dirichlet distribution (R.H. Lochner, A Generalized Dirichlet Distribution in Bayesian Life Testing, Journal of the Royal Statistical Society, Series B, 37(1):pp. 103-113, 1975) as its asymptotic solution. Individual samples of a discrete ensemble, obtained from the system of stochastic differential equations, equivalent to the Fokker-Planck equation developed here, satisfy a unit-sum constraint at all times and ensure a bounded sample space, similarly to the process developed in (J. Bakosi, J.R. Ristorcelli, A stochastic diffusion process for the Dirichlet distribution, Int. J. Stoch. Anal., Article ID, 842981, 2013) for the Dirichlet distribution. Consequently, the generalized Dirichlet diffusion process may be used to represent realizations of a fluctuating ensemble of N variables subject to a conservation principle. Compared to the Dirichlet distribution and process, the additional parameters of the generalized Dirichlet distribution allow a more general class of physical processes to be modeled with a more general covariance matrix.

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Cited in

(3)

• A simple procedure calculating the generalized Stieltjes transform of the mean of a Dirichlet process
• A stochastic diffusion process for the Dirichlet distribution
• Diffusion processes satisfying a conservation law constraint

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