Technique for Finding the Moment Equations of a Nonlinear Stochastic System
- 1 March 1970
- journal article
- research article
- Published by AIP Publishing in Journal of Mathematical Physics
- Vol. 11 (3) , 771-774
- https://doi.org/10.1063/1.1665208
Abstract
A technique is described for deriving the moment equations of a nonlinear stochastic system with a random forcing term. The nonlinear term is then linearized by means of minimizing the mean‐square error between nonlinear and linear terms. The traditional derivation of the Fokker‐Planck equation for the conditional probability density, and hence the moment equations, is bypassed.Keywords
This publication has 4 references indexed in Scilit:
- Experimental Confirmation of the Applicability of the Fokker-Planck Equation to a Nonlinear OscillatorJournal of Mathematical Physics, 1969
- Closure and preservation of moment propertiesJournal of Mathematical Analysis and Applications, 1968
- Derivation of the Moments of a Continuous Stochastic SystemInternational Journal of Control, 1967
- On some questions arising in the approximate solution of nonlinear differential equationsQuarterly of Applied Mathematics, 1963