在Lévy白噪声下的微分方程的随机响应的路径集成方法
Jiahui Peng1, Liang Wang1, Bochen Wang1
1Department of Applied Probability and Statistics, School of Mathematics and Statistics, Northwestern Polytechnical University, Xi'an 710129, People's Republic of China.
Physical review. E
|March 16, 2024
概括
一种新的渐进路径集成 (PI) 方法模拟了来自莱维白噪声的随机响应. 这种方法有效地计算系统响应,克服了以前对噪声参数的限制.
科学领域:
- 随机过程 随机过程
- 计算物理 计算物理
背景情况:
- 由莱维噪声驱动的静态微分方程难以分析.
- 现有的路径集成方法在莱维噪声参数方面存在局限性.
研究的目的:
- 开发一种渐进路径集成 (PI) 方法来分析由莱维白噪声驱动的随机系统.
- 克服以前PI方法关于Lévy噪声参数的局限性.
主要方法:
- 构建一个概率映射来解系统状态和莱维噪声概率空间.
- 解决短期系统响应的概率映射.
- 使用PI概念逐步分析随机系统演变.
主要成果:
- 拟议的PI方法有效地计算了在Lévy白噪声下的瞬态和静态反应.
- 蒙特卡洛模拟验证了该方法的适用性和有效性.
- 该方法消除了对莱维白噪声控制参数的限制.
结论:
- 渐进式PI方法为分析由莱维白噪声驱动的随机系统提供了一种高效和多功能工具.
- 这种方法增强了对具有复杂噪声特征的系统的研究.
- PI方法为随机分析的计算方法提供了重大进步.
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