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Approximate eigenfunction analysis of first order non-linear systems with application to a cubic system

โœ Scribed by M. Yar; J.K. Hammond

Publisher
Elsevier Science
Year
1986
Tongue
English
Weight
458 KB
Volume
111
Category
Article
ISSN
0022-460X

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โœฆ Synopsis

For stochastic systems excited by white Gaussian noise, the transition probability density is the solution to the Fokker-Planck-Kolmogorov (FPK) equation. If the system is non-linear the resulting FPK equation can be solved exactly only in a few special cases.

Here an approximate expression is developed for the transition probability density function of a class of non-linear systems. By using this approximation the autocovariance and spectral density function for a certain first order system are obtained. The approximate results so obtained are compared with those obtained by direct digital simulation.

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