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.

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.

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