Characteristic functionals of randomly excited physical systems

DOI10.1016/0378-4371(84)90115-8MaRDI QIDQ1079880zbMATH OpenOpenAlexFDO

Authors Z. Kotulski, K. Sobczyk

Publication date 1984

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-4371(84)90115-8

zbMATH Keywords

random harmonic oscillatorrandom heat conductionrandomly arriving impulsesstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

This paper deals with characteristic functionals of the solutions of a wide class of stochastic differential equations describing random physical processes. First, a construction of the characteristic functional is shown in a general case of the stochastic evolution equation in Hilbert space. Then making use of the construction presented, the analysis of three random physical processes is performed: the random harmonic oscillator, random wave process and random heat conduction. Special attention in these applications is focused on the cases where an excitation process has the form of a sequence of randomly arriving impulses.

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Cites work

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Cited in

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