On the calculation of stationary solutions of multi-dimensional Fokker-Planck equations by orthogonal functions
type: Item
instance of: scholarly article
title: On the calculation of stationary solutions of multi-dimensional Fokker-Planck equations by orthogonal functions
zbMATH Open document ID: 0985.70020
DOI: 10.1023/A:1008389909132
author: U. von Wagner
author: W. V. Wedig
published in: Nonlinear Dynamics
publication date: 2001-02-14T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 70L05
Mathematics Subject Classification ID: 70K40
Mathematics Subject Classification ID: 70-08
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 1487128
zbMATH Keywords: nonlinear stochastic differential equations
zbMATH Keywords: nonlinear oscillators
zbMATH Keywords: probability density function
zbMATH Keywords: stochastic averaging method
zbMATH Keywords: Fokker-Planck equation
zbMATH Keywords: orthogonal function expansion
reviewed by: Melvin D. Lax
MaRDI profile type: Publication
full work available at URL: a:1008389909132
OpenAlex ID: W2106919646
description: scientific article; zbMATH DE number 1487128