A closed form approximation and error quantification for the response transition probability density function of a class of stochastic differential equations

Antonios T. Meimaris, Ioannis A. Kougioumtzoglou, Athanasios A. Pantelous

Research output: Contribution to journalArticle

Abstract

A closed-form analytical approximation is derived for the response transition probability density function (PDF) of a certain class of stochastic differential equations with nonlinear drift and constant diffusion coefficients. This is done by resorting to a recently developed Wiener path integral based technique (WPI) in conjunction with a Cauchy-Schwarz inequality treatment of the problem. The derived approximation can be used, due to its analytical nature, as a direct SDE response PDF estimate that requires zero computational effort for its determination. Further, it facilitates an error quantification analysis, which yields an a priori estimate of the anticipated accuracy obtained by applying the approximate methodology. The reliability of the approximation is demonstrated via several engineering mechanics/dynamics related numerical examples pertaining to the stochastic beam bending problem, as well as to the response determination of stochastically excited nonlinear oscillators.

LanguageEnglish
Pages87-94
Number of pages8
JournalProbabilistic Engineering Mechanics
Volume54
DOIs
StatePublished - 20 Jun 2018
Externally publishedYes

Keywords

  • Cauchy-Schwarz inequality
  • Error quantification
  • Path integral
  • Stochastic differential equations
  • Stochastic dynamics

Cite this

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abstract = "A closed-form analytical approximation is derived for the response transition probability density function (PDF) of a certain class of stochastic differential equations with nonlinear drift and constant diffusion coefficients. This is done by resorting to a recently developed Wiener path integral based technique (WPI) in conjunction with a Cauchy-Schwarz inequality treatment of the problem. The derived approximation can be used, due to its analytical nature, as a direct SDE response PDF estimate that requires zero computational effort for its determination. Further, it facilitates an error quantification analysis, which yields an a priori estimate of the anticipated accuracy obtained by applying the approximate methodology. The reliability of the approximation is demonstrated via several engineering mechanics/dynamics related numerical examples pertaining to the stochastic beam bending problem, as well as to the response determination of stochastically excited nonlinear oscillators.",
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AU - Pantelous,Athanasios A.

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AB - A closed-form analytical approximation is derived for the response transition probability density function (PDF) of a certain class of stochastic differential equations with nonlinear drift and constant diffusion coefficients. This is done by resorting to a recently developed Wiener path integral based technique (WPI) in conjunction with a Cauchy-Schwarz inequality treatment of the problem. The derived approximation can be used, due to its analytical nature, as a direct SDE response PDF estimate that requires zero computational effort for its determination. Further, it facilitates an error quantification analysis, which yields an a priori estimate of the anticipated accuracy obtained by applying the approximate methodology. The reliability of the approximation is demonstrated via several engineering mechanics/dynamics related numerical examples pertaining to the stochastic beam bending problem, as well as to the response determination of stochastically excited nonlinear oscillators.

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