Solution of generalized density evolution equation via a family of \(\delta\) sequences

DOI10.1007/s00466-008-0345-4zbMath1175.65008OpenAlexW1968672496MaRDI QIDQ1021157

Jie Li, Wenliang Fan, Jianbing Chen

Publication date: 8 June 2009

Published in: Computational Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00466-008-0345-4

zbMATH Keywords

algorithmnumerical examplesmethod of characteristicsformal solutiongeneralized density evolution equation\(\delta\) sequencesprinciple of preservation of probabilitystochastic nonlinear dynamical system

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Generation, random and stochastic difference and differential equations (37H10) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

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

Cites Work

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• Probability Theory in Geophysics
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• A Semiclassical Transport Model for Thin Quantum Barriers
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