High-Dimensional Nonlinear Diffusion Stochastic Processes
The book is addressed to all scientists and engineers who deal with nonlinear diffusion stochastic processes (DSP) in Euclidean space of high dimensions. The analysis of DSP derived in this book is mainly based on the well-known expressions for drift vector and diffusion matrix of the processes and on Kolmogorov's forward equations. No techniques directly related to the theory of Itô's stochastic differential equations are involved. The introductory Chapter 1 lists some basic facts and methods of DSP theory and some of the related practical problems. Chapter 2 studies diffusion processes from the point of view of their expectation and variance. Chapters 3 and 4 study nonstationary invariant and stationary diffusion processes, respectively. Chapter 5 concerns the modelling of the non-Markov phenomena with various Itô's stochastic differential equations and their connections to high-dimensional DSPs. This connection is provided by means of the stochastic adaptive interpolation method. Chapter 6 contains the specific examples of the theory developed in Chapter 5 and is devoted to Itô's stochastic partial differential equations of semiconductor theory which are based on the fluid-dynamics model. Chapter 7 focuses on the distinguishing features of engineering applications (reasonable amount of the main computer memory, real-time signal transformation etc). A combined, analytical-numerical approach, its advantages and disadvantages as well as the connection to common analytical DSP results are discussed in Chapter 8. The book includes eight appendices and a comprehensive bibliography. The book can be regarded as a kind of complement to \textit{R. Serra, M. Andretta, M. Compiani} and \textit{G. Zanarini} [``Introduction to the physics of complex systems. The mesoscopic approach to fluctuations, nonlinearity and self-organization (1986; Zbl 0667.58044)], \textit{J. Honerkamp} [``Stochastische dynamische Systeme: Konzepte, numerische Methoden, Datenanalysen (1990; Zbl 0703.60110) and ``Statistical physics. An advanced approach with applications (1998; Zbl 0908.00007)].
- MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART I: APPROXIMATIONS FOR EXPECTATION AND VARIANCE OF NONSTATIONARY PROCESS
- Modeling with Itô Stochastic Differential Equations
- Stochastic differential equations in science and engineering. With CD-ROM.
- scientific article; zbMATH DE number 47670
- scientific article; zbMATH DE number 4022294
- Stochastic evolution systems. Linear theory and applications to non-linear filtering
- Theory and applications of stochastic processes. An analytical approach
- Nonlinear stochastic evolution problems in applied sciences
- scientific article; zbMATH DE number 51175
- Nonlinear random vibration. Analytical techniques and applications.
- Temperature fields in machining processes and heat transfer models
- Random observations of marked Cox processes. Time insensitive functionals
- On fluctuations of a multivariate random walk with some applications to stock options trading and hedging
- Random Walk Analysis in Antagonistic Stochastic Games
- MODELLING LIVING FLUIDS WITH THE SUBDIVISION INTO THE COMPONENTS IN TERMS OF PROBABILITY DISTRIBUTIONS
- MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART I: APPROXIMATIONS FOR EXPECTATION AND VARIANCE OF NONSTATIONARY PROCESS
- MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART II: APPROXIMATIONS FOR COVARIANCE AND SPECTRAL DENSITY OF STATIONARY PROCESS
- On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process
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