• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>Reliability Engineering & System Safety >PC analysis of stochastic differential equations driven by Wiener noise
【24h】

PC analysis of stochastic differential equations driven by Wiener noise

机译：维纳噪声驱动的随机微分方程的PC分析

获取原文
获取原文并翻译 | 示例
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

A polynomial chaos (PC) analysis with stochastic expansion coefficients is proposed for stochastic differential equations driven by additive or multiplicative Wiener noise. It is shown that for this setting, a Galerkin formalism naturally leads to the definition of a hierarchy of stochastic differential equations governing the evolution of the PC modes. Under the mild assumption that the Wiener and uncertain parameters can be treated as independent random variables, it is also shown that the Galerkin formalism naturally separates parametric uncertainty and stochastic forcing dependences. This enables us to perform an orthogonal decomposition of the process variance, and consequently identify contributions arising from the uncertainty in parameters, the stochastic forcing, and a coupled term. Insight gained from this decomposition is illustrated in light of implementation to simplified linear and non-linear problems; the case of a stochastic bifurcation is also considered.
机译：针对由加性或乘性维纳噪声驱动的随机微分方程，提出了一种具有随机扩展系数的多项式混沌（PC）分析方法。结果表明，在这种情况下，Galerkin形式主义自然导致了控制PC模式演变的随机微分方程层次结构的定义。在温和的假设下，可以将维纳和不确定参数视为独立的随机变量，这也表明，加勒金形式主义自然地将参数不确定性和随机强迫依赖性分开。这使我们能够对过程方差进行正交分解，并因此确定由参数不确定性，随机强迫和耦合项引起的贡献。根据简化线性和非线性问题的实现，说明了从这种分解中获得的见解；也考虑随机分叉的情况。

著录项

  • 来源
    《Reliability Engineering & System Safety》 |2015年第3期|107-124|共18页
  • 作者

    O.P. Le Maitre; O.M. Knio;

  • 作者单位

    LIMSI-CNRS, rue John von Neumann, BP 133, Bt 508, F-91403 Orsay Cedex, France,Department of Mechanical Engineering and Materials Science, Duke University, Durham, NC 27708, United States,CEMSE Division, King Abdullah University of Science and Technology, Thuwal, Kingdom of Saudi Arabia;

    Department of Mechanical Engineering and Materials Science, Duke University, Durham, NC 27708, United States,CEMSE Division, King Abdullah University of Science and Technology, Thuwal, Kingdom of Saudi Arabia;

  • 收录信息 美国《科学引文索引》(SCI);美国《工程索引》(EI);
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Stochastic differential equation; Wiener noise; Polynomial chaos; Variance analysis;

    机译：随机微分方程维也纳噪声;多项式混沌方差分析;

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号