2008

Simulation of Stochastic Processes by Coupled ODE-PDE

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.

This work was done by Michail Zak of Caltech for NASA’s Jet Propulsion Laboratory.
NPO-45241

This Brief includes a Technical Support Package (TSP).

Simulation of Stochastic Processes by Coupled ODE-PDE (reference NPO-45241) is currently available for download from the TSP library.

Please Login at the top of the page to download.

 

White Papers

Bearing selection for low-speed applications
Sponsored by Kaydon
Linear Motors Application Guide
Sponsored by Aerotech
Multi-Purpose Non-Contact Position/Displacement Sensing
Sponsored by Kaman
How to Avoid Bearing Corrosion
Sponsored by Kaydon
Finding the Right Manufacturer for Your Design
Sponsored by Sunstone Circuits
Removing the Gap Between ECAD and MCAD Design
Sponsored by Mentor Graphics

White Papers Sponsored By: