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Analysis of moment stability and sensitivity of non-linear stochastic distributed systems: a practical approach via a distributed Fokker-Planck equation

 

作者: GUY JUMARIE,  

 

期刊: International Journal of Systems Science  (Taylor Available online 1989)
卷期: Volume 20, issue 12  

页码: 2369-2385

 

ISSN:0020-7721

 

年代: 1989

 

DOI:10.1080/00207728908910319

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

A Fokker-Planck equation for a class of stochastic distributed systems, described by a distributed probability densityp(.x,z,l)is derived. These processes are defined by their first two transition moments expressed in terms of Green's functions; and by using very simple assumptions, one can write the equations of the state moments themselves, therefore the Fokker-Planck equation. The main interest of this approach is to avoid the problem of seeking the probability density of the transition as well as the use of the Chapman-Kolmogorov equation. This is a statistical viewpoint stressing the absence of the stochastic differential equation. The equations of the stale moments are then used to analyse the stability and the sensitivity of the stochastic distributed system.

 

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