Solution of generalized density evolution equation via a family of \(\delta\) sequences (Q1021157)
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| English | Solution of generalized density evolution equation via a family of \(\delta\) sequences |
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Solution of generalized density evolution equation via a family of \(\delta\) sequences (English)
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8 June 2009
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An algorithm is proposed for approximating the probability density function of the solution of a generalized density evolution equation of a function of the solution (and its derivative) of a stochastic nonlinear dynamical system. Results from several numerical examples are presented to illustrate the effectiveness of the algorithm.
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principle of preservation of probability
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generalized density evolution equation
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formal solution
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\(\delta\) sequences
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method of characteristics
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algorithm
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stochastic nonlinear dynamical system
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numerical examples
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