Evolution of the n th probability density and entropy function in stochastic systems
type: Item
instance of: scholarly article
title: Evolution of the n th probability density and entropy function in stochastic systems
zbMATH Open document ID: 0642.60110
DOI: 10.1016/0378-4754(88)90002-X
published in: Mathematics and Computers in Simulation
publication date: 1988-01-01T00:00:00Z
review text: The time evolution of dynamical systems with random initial conditions is considered, by deriving the n th order probability density of the stochastic process which describes the response of the system, and the entropy function related to the said distribution. A constructive theorem is proved, which enables the explicit calculation of the n th order probability density in terms of the statistics of the initial conditions. Some monotonicity properties of the entropy are derived, and the results are applied in two examples. The same analysis can be applied to the study of the probabilistic response of dynamical systems with constant random parameters and deterministic initial conditions.
Mathematics Subject Classification ID: 60K99
zbMATH DE Number: 4046874
zbMATH Keywords: time evolution of dynamical systems with random initial conditions
zbMATH Keywords: entropy function
zbMATH Keywords: random parameters and deterministic initial conditions
author: R. Riganti
MaRDI profile type: Publication
cites work: On the mathematical modelling of physical systems by ordinary differential stochastic equations
cites work: Time-evolution of the probability density under the action of a deterministic dynamical system
cites work: Q3761421
cites work: Q5801644
cites work: Random differential equations in science and engineering
description: scientific article; zbMATH DE number 4046874