Probability density statistical and equivalent linearization techniques (Q4784532)
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scientific article; zbMATH DE number 1844105
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| English | Probability density statistical and equivalent linearization techniques |
scientific article; zbMATH DE number 1844105 |
Statements
Probability density statistical and equivalent linearization techniques (English)
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2002
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statistical linearization
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equivalent linearization
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truncated Gram-Charlier expansions
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Fokker-Planck equations
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0.8499435782432556
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0.7781607508659363
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The coefficients of Itô systems are linearized in the state variable, the coefficients of the linearization being determined by minimizing a functional of the difference of the probability density functions of the steady states of the original and the linearized system. The probability density functions are approximated by truncated Gram-Charlier expansions. Two versions of this approach as well as a related linearization procedure for the corresponding Fokker-Planck equations are presented. The results are illustrated by four examples.
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