Methodology for the solutions of some reduced Fokker-Planck equations in high dimensions. (English) Zbl 1214.82076
It is developed the state space split method to solve the reduced Fokker-Plank equation in high-dimensional state space. This procedure consists in splitting into two subspaces the state space of the nonlinear stochastic dynamic system. The reduced Fokker-Plank equation is integrated in one of the subspaces and the reduced Fokker-Plank equation in another subspace is derived. This last equation is governing the approximate joint probability density function of the state variables in the subspace. This method only works for the systems that can be analyzed with the equivalent linearization method.
Reviewer: Vicenţiu D. Rădulescu (Craiova)
MSC:
| 82C31 | Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics |
| 35Q84 | Fokker-Planck equations |
Keywords:
nonlinear stochastic dynamics; large-scale systems; Fokker-Planck equation; state space splitReferences:
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