Search results for "Stochastic partial differential equation"

Direct Derivation of Corrective Terms in SDE Through Nonlinear Transformation on Fokker–Planck Equation

2004

This paper examines the problem of probabilistic characterization of nonlinear systems driven by normal and Poissonian white noise. By means of classical nonlinear transformation the stochastic differential equation driven by external input is transformed into a parametric-type stochastic differential equation. Such equations are commonly handled with Ito-type stochastic differential equations and Ito's rule is used to find the response statistics. Here a different approach is proposed, which mainly consists in transforming the Fokker–Planck equation for the original system driven by external input, in the transformed probability density function of the new state variable. It will be shown …

Regularity of solutions to differential equations with non-Lipschitz coefficients

2008

AbstractWe study the ordinary and stochastic differential equations whose coefficients satisfy certain non-Lipschitz conditions, namely, we study the behaviors of small subsets under the flows generated by these equations.

Spatial Besov regularity for stochastic partial differential equations on Lipschitz domains

2010

We use the scale of Besov spaces B^\alpha_{\tau,\tau}(O), \alpha>0, 1/\tau=\alpha/d+1/p, p fixed, to study the spatial regularity of the solutions of linear parabolic stochastic partial differential equations on bounded Lipschitz domains O\subset R^d. The Besov smoothness determines the order of convergence that can be achieved by nonlinear approximation schemes. The proofs are based on a combination of weighted Sobolev estimates and characterizations of Besov spaces by wavelet expansions.

Multiscale Particle Method in Solving Partial Differential Equations

2007

A novel approach to meshfree particle methods based on multiresolution analysis is presented. The aim is to obtain numerical solutions for partial differential equations by avoiding the mesh generation and by employing a set of particles arbitrarily placed in problem domain. The elimination of the mesh combined with the properties of dilation and translation of scaling and wavelets functions is particularly suitable for problems governed by hyperbolic partial differential equations with large deformations and high gradients.

Partial differential equations governed by accretive operators

2012

The theory of nonlinear semigroups in Banach spaces generated by accretive operators has been very useful in the study of many nonlinear partial differential equations Such a theory is fundamentally based in the Crandall-Liggett Theorem and in the contributions of Ph. Benilan. In this paper, after outlining some of the main points of this theory, we present some of the applications to some nonlinear partial differential equations that appear in different fields of Science.

Oscillation results for second-order nonlinear neutral differential equations

2013

Published version of an article in the journal: Advances in Difference Equations. Also available from the publisher at: http://dx.doi.org/10.1186/1687-1847-2013-336 Open Access We obtain several oscillation criteria for a class of second-order nonlinear neutral differential equations. New theorems extend a number of related results reported in the literature and can be used in cases where known theorems fail to apply. Two illustrative examples are provided.

Stochastic Analysis of a Nonlocal Fractional Viscoelastic Bar Forced by Gaussian White Noise

2017

Recently, a displacement-based nonlocal bar model has been developed. The model is based on the assumption that nonlocal forces can be modeled as viscoelastic (VE) long-range interactions mutually exerted by nonadjacent bar segments due to their relative motion; the classical local stress resultants are also present in the model. A finite element (FE) formulation with closed-form expressions of the elastic and viscoelastic matrices has also been obtained. Specifically, Caputo's fractional derivative has been used in order to model viscoelastic long-range interaction. The static and quasi-static response has been already investigated. This work investigates the stochastic response of the non…

Stochastic Kinetics with Wave Nature

2003

We consider stochastic second-order partial differential equations. We indroduce a noisy non-linear wave equation and discuss its connections, in particular via the Lorentz transformation, with known stochastic models.

Removability theorems for solutions of degenerate elliptic partial differential equations

1993

A Noncommutative Approach to Ordinary Differential Equations

2005

We adapt ideas coming from Quantum Mechanics to develop a non-commutative strategy for the analysis of some systems of ordinary differential equations. We show that the solution of such a system can be described by an unbounded, self-adjoint and densely defined operator H which we call, in analogy with Quantum Mechanics, the Hamiltonian of the system. We discuss the role of H in the analysis of the integrals of motion of the system. Finally, we apply this approach to several examples.