A new approach for time-variant probability density function of the maximal value of stochastic dynamical systems
DOI10.1016/J.JCP.2020.109525zbMATH Open1440.65011OpenAlexW3025833308MaRDI QIDQ2194342FDOQ2194342
Publication date: 25 August 2020
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jcp.2020.109525
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Markov processextreme value distributionstochastic dynamical systempath integral solutionChapman-Kolmogorov equationmaximal value process
Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60) Probabilistic models, generic numerical methods in probability and statistics (65C20)
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Cited In (2)
- Closed-form solutions for the probability distribution of time-variant maximal value processes for some classes of Markov processes
- A decoupled approach for determination of the joint probability density function of a high-dimensional nonlinear stochastic dynamical system via the probability density evolution method
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