On joint stationary probability density function of nonlinear dynamic systems

DOI10.1007/BF01187041MaRDI QIDQ1265359zbMATH OpenFDO

Authors K. Appert, Zhikang Zhang, Rubin Wang, K. Yasuda

Publication date 19 July 1999

Published in Acta Mechanica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01187041

zbMATH Keywords

diffusion processFokker-Planck equationstationary probability density

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Review text

Two-dimensional diffusion processes with the drift vector \((x_2, g(x_1,x_2))\) and the diffusion matrix \(\left(\begin{smallmatrix} 0 & 0 \\ 0 & \sigma^2 \end{smallmatrix} \right)\) are considered. Conditions are investigated when the stationary probability density \(p(x_1,x_2)\) has the form \(p(x_1,x_2)= p_1(x_1) p_2(x_2)\). Some examples are discussed in detail.

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Cites work

• Exact stationary probability density for second order non-linear systems under external white noise excitation
• Random differential equations in science and engineering
• The exact steady-state solution of a class of nonlinear stochastic systems

Cited in

(4)

• On joint probability density functions of discrete time iterative processes.
• Characterization of stationary distributions using conditional expectations
• Probabilistic solution of a multi-degree-of-freedom Duffing system under nonzero mean Poisson impulses
• A stochastic two species competition model: nonequilibrium fluctuation and stability

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