Numerical path integration of a non-homogeneous Markov process
The numerical path integration method, based on Gauss–Legendre integration scheme, is applied to a Duffing oscillator subject to both sinusoidal and white noise excitations. The response of the system is a Markov process with one of the drift coefficients being periodic. It is a non-homogeneous Mark...
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| Published in | International journal of non-linear mechanics Vol. 39; no. 9; pp. 1493 - 1500 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Elsevier Ltd
01.11.2004
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| Subjects | |
| Online Access | Get full text |
| ISSN | 0020-7462 1878-5638 |
| DOI | 10.1016/j.ijnonlinmec.2004.02.011 |
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| Abstract | The numerical path integration method, based on Gauss–Legendre integration scheme, is applied to a Duffing oscillator subject to both sinusoidal and white noise excitations. The response of the system is a Markov process with one of the drift coefficients being periodic. It is a non-homogeneous Markov process that does not have a stationary probability distribution. When applying the numerical procedure, the values of transition probability density at the Gaussian–Legendre quadrature points need only be calculated for time steps of the first period of the sinusoidal excitation, and they can be saved for use in all subsequent periods. The numerical procedure is capable of capturing the evolution of the probability density from an initial distribution to one that is changing and rotating periodically in the phase space. |
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| AbstractList | The numerical path integration method, based on Gauss–Legendre integration scheme, is applied to a Duffing oscillator subject to both sinusoidal and white noise excitations. The response of the system is a Markov process with one of the drift coefficients being periodic. It is a non-homogeneous Markov process that does not have a stationary probability distribution. When applying the numerical procedure, the values of transition probability density at the Gaussian–Legendre quadrature points need only be calculated for time steps of the first period of the sinusoidal excitation, and they can be saved for use in all subsequent periods. The numerical procedure is capable of capturing the evolution of the probability density from an initial distribution to one that is changing and rotating periodically in the phase space. |
| Author | Lin, Y.K. Yu, J.S. |
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