A new approach for time-variant probability density function of the maximal value of stochastic dynamical systems

DOI10.1016/j.jcp.2020.109525zbMath1440.65011OpenAlexW3025833308MaRDI QIDQ2194342

Meng-Ze Lyu, Jianbing Chen

Publication date: 25 August 2020

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2020.109525

zbMATH Keywords

Markov processextreme value distributionstochastic dynamical systempath integral solutionChapman-Kolmogorov equationmaximal value process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Probabilistic models, generic numerical methods in probability and statistics (65C20) Diffusion processes (60J60)

Related Items

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, Closed-form solutions for the probability distribution of time-variant maximal value processes for some classes of Markov processes

Uses Software

• ismev

Cites Work

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