کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
561258 1451879 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalized Fokker–Planck equation with generalized interval probability
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر پردازش سیگنال
پیش نمایش صفحه اول مقاله
Generalized Fokker–Planck equation with generalized interval probability
چکیده انگلیسی

The Fokker–Planck equation is widely used to describe the time evolution of stochastic systems in drift-diffusion processes. Yet, it does not differentiate two types of uncertainties: aleatory uncertainty that is inherent randomness and epistemic uncertainty due to lack of perfect knowledge. In this paper, a generalized differential Chapman–Kolmogorov equation based on a new generalized interval probability theory is derived, where epistemic uncertainty is modeled by the generalized interval while the aleatory one is by the probability measure. A generalized Fokker–Planck equation is proposed to describe drift-diffusion processes under both uncertainties. A path integral approach is developed to numerically solve the generalized Fokker–Planck equation. The resulted interval-valued probability density functions rigorously bound the real-valued ones computed from the classical path integral method. The method is demonstrated by numerical examples.


► Stochastic systems are described by a new generalized interval probability theory.
► A generalized differential Chapman–Kolmogorov equation is derived.
► A generalized Fokker–Planck equation is proposed for drift-diffusion processes.
► A path integral method is developed to model time evolution of interval probability.
► Interval-valued probability densities rigorously bound the real-valued solutions.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mechanical Systems and Signal Processing - Volume 37, Issues 1–2, May–June 2013, Pages 92–104
نویسندگان
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