MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART II: APPROXIMATIONS FOR COVARIANCE AND SPECTRAL DENSITY OF STATIONARY PROCESS
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Publication:4799023
DOI10.1142/S0218202599000555zbMath1009.60067MaRDI QIDQ4799023
Yevgeny V. Mamontov, Magnus Willander
Publication date: 16 March 2003
Published in: Mathematical Models and Methods in Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0218202599000555
spectral density; covariance; integral formula; analytical results; nonlinearities of the drift function
60J60: Diffusion processes
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Cites Work
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- Spectral density of a nonlinear single-degree-of-freedom system's response to a white-noise random excitation: A unique case of an exact solution
- Power Spectral Density of Nonlinear System Response: The Recursion Method
- The spectral density of the nonlinear damping model: single DOF case
- The spectral density of a nonlinear damping model: multi-DOF case
- MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART I: APPROXIMATIONS FOR EXPECTATION AND VARIANCE OF NONSTATIONARY PROCESS