Nonlocal PDF methods for Langevin equations with colored noise

DOI10.1016/j.jcp.2018.04.023zbMath1415.65020OpenAlexW2797091278WikidataQ129983197 ScholiaQ129983197MaRDI QIDQ2424504

Tyler Maltba, Daniel M. Tartakovsky, Pierre Alain Gremaud

Publication date: 25 June 2019

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2018.04.023

zbMATH Keywords

randomLangevin equationprobability density function methodcolored noisestochasticuncertainty quantificationnonlocal

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Numerical solutions to stochastic differential and integral equations (65C30) PDEs in connection with statistics (35Q62)

Related Items (4)

Data-driven discovery of coarse-grained equations ⋮ Information geometry of physics-informed statistical manifolds and its use in data assimilation ⋮ Exact stationary solutions of the Kolmogorov-Feller equation in a bounded domain ⋮ Diffusion and memory effect in a stochastic process and the correspondence to an information propagation in a social system

Uses Software

• CLAWPACK

Cites Work

• Unnamed Item
• Exact PDF equations and closure approximations for advective-reactive transport
• Random ordinary differential equations
• Consequences of weak Allee effect on prey in the May-Holling-Tanner predator-prey model
• Adaptive Discontinuous Galerkin Method for Response-Excitation PDF Equations
• Random Differential Equations in Scientific Computing
• A computable evolution equation for the joint response-excitation probability density function of stochastic dynamical systems

This page was built for publication: Nonlocal PDF methods for Langevin equations with colored noise