Approximate solution of the Fokker‐Planck‐Kolmogorov equation by finite elements

DOI10.1002/cnm.1640101002zbMath0810.65146OpenAlexW2012112753MaRDI QIDQ4314966

Hoam E. Emara Shabaik, Mohamed A. El-Gebeily

Publication date: 8 January 1995

Published in: Communications in Numerical Methods in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cnm.1640101002

zbMATH Keywords

convergencenumerical examplefinite element methodFokker-Planck-Kolmogorov equationstochastic dynamical systems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical optimization and variational techniques (65K10) Least squares and related methods for stochastic control systems (93E24) Ordinary differential equations and systems with randomness (34F05) Stochastic systems in control theory (general) (93E03) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Particle filter for state estimation of jump Markov nonlinear system with application to multi-targets tracking

Cites Work

• Stochastic processes and filtering theory
• Solution of certain parabolic equations with unbounded coefficients and its application to nonlinear filtering
• Des resultats de non existence de filtre de dimension finie
• A finite element method for the statistics of non-linear random vibration

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