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Simulation of stochastic processes by coupled ode-pde
| Content Provider | NASA Technical Reports Server (NTRS) |
|---|---|
| Author | Zak, Michail |
| Copyright Year | 2008 |
| Description | A document discusses the emergence of randomness in solutions of coupled, fully deterministic ODE-PDE (ordinary differential equations-partial differential equations) due to failure of the Lipschitz condition as a new phenomenon. It is possible to exploit the special properties of ordinary differential equations (represented by an arbitrarily chosen, dynamical system) coupled with the corresponding Liouville equations (used to describe the evolution of initial uncertainties in terms of joint probability distribution) in order to simulate stochastic processes with the proscribed probability distributions. The important advantage of the proposed approach is that the simulation does not require a random-number generator. |
| File Size | 65953 |
| Page Count | 1 |
| File Format | |
| Alternate Webpage(s) | http://archive.org/details/NASA_NTRS_Archive_20090016250 |
| Archival Resource Key | ark:/13960/t4xh4kg65 |
| Language | English |
| Publisher Date | 2008-06-01 |
| Access Restriction | Open |
| Subject Keyword | Mathematical And Computer Sciences (general) Lipschitz Condition Simulation Stochastic Processes Statistical Distributions Differential Equations Problem Solving Probability Distribution Functions Ntrs Nasa Technical Reports Server (ntrs) Nasa Technical Reports Server Aerodynamics Aircraft Aerospace Engineering Aerospace Aeronautic Space Science |
| Content Type | Text |
| Resource Type | Technical Report |
