MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART II: APPROXIMATIONS FOR COVARIANCE AND SPECTRAL DENSITY OF STATIONARY PROCESS

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

zbMATH Keywords

spectral density; covariance; integral formula; analytical results; nonlinearities of the drift function

Mathematics Subject Classification ID

60J60: Diffusion processes

Related Items

MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART I: APPROXIMATIONS FOR EXPECTATION AND VARIANCE OF NONSTATIONARY PROCESS, An analytical-numerical method for fast evaluation of probability densities for transient solutions of nonlinear Itô's stochastic differential equations, The generalized kinetic modelling of a multicomponent ``real-life fluid by means of a single distribution function, Nonstationary invariant distributions and the hydrodynamics-style generalization of the Kol\-mo\-gorov-forward/Fokker-Planck equation, A specification of the Maxwell-Rayleigh-Heisenberg approach to modelling fluids for bioelectronic applications, The sea-wave elevation and multistability in a non-autonomous nonlinear Itô's stochastic differential equation for the rolling angle of a ship, Stochastic continuum mechanics -- a thermodynamic-limit-free alternative to statistical mechanics: equilibrium of isothermal ideal isotropic uniform fluid., Thermomechanical effects in the flow of a fluid in porous media, Optimization of traffic flow conditions by minimization of quadratic functionals, Modelling complex systems in applied sciences; methods and tools of the mathematical kinetic theory for active particles, Stochastic mechanics in the context of the properties of living systems

Cites Work

• Long asymptotic correlation time for non-linear autonomous Itô's stochastic differential equation
• 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