On the calculation of stationary solutions of multi-dimensional Fokker-Planck equations by orthogonal functions
This paper presents four examples of systems of nonlinear stochastic differential equations arising from the study of nonlinear oscillators. In each example, an approximation of the probability density function of the solution is obtained by using a stochastic averaging method in which the Fokker-Planck equation is solved with a technique involving orthogonal function expansions. The results obtained by using this approach are found to compare favorably with those obtained by Monte Carlo simulation, especially with respect to computation time.
nonlinear stochastic differential equations
scientific article; zbMATH DE number 1487128