Response of stochastic dynamical systems driven by additive Gaussian and Poisson white noise: Solution of a forward generalized Kolmogorov equation by a spectral finite difference method

DOI10.1016/S0045-7825(98)00098-XzbMath0956.70003OpenAlexW2012724610MaRDI QIDQ1965196

Erik A. Johnson, Mircea D. Grigoriu, Billie F. jun. Spencer, Steven F. Wojtkiewicz, Lawrence A. Bergman

Publication date: 12 March 2001

Published in: Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0045-7825(98)00098-x

zbMATH Keywords

Fourier transformFokker-Planck equationcharacteristic functionprobability densityspatial discretizationtemporal discretizationgeneralized Kolmogorov equationnumerical inverse Fourier transformspectral finite difference methodadditive Gaussian and Poisson white noisetime-independent discrete dynamical systems

Mathematics Subject Classification ID

Computational methods for problems pertaining to mechanics of particles and systems (70-08) Random vibrations in mechanics of particles and systems (70L05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites Work

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• A PARTIAL DIFFERENTIAL EQUATION FOR THE CHARACTERISTIC FUNCTION OF THE RESPONSE OF NON-LINEAR SYSTEMS TO ADDITIVE POISSON WHITE NOISE
• Reliability Of Non-linear Oscillators Subject To Poisson Driven Impulses
• Dynamical Mechanical Systems Under Random Impulses
• Application of Nonstationary Shot Noise in the Study of System Response to a Class of Nonstationary Excitations
• System response to random impulses

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