Abstract
This article addresses the computation of stationary and transient solutions of the Fokker-Planck equation for nonlinear stochastic processes. We extend a Galerkin-method, which was previously used to compute stationary solutions for nonlinear mechanical systems, by a generalized formulation of the test function space, including the original approach as a limit. The use of weighted test functions improves the performance in the stationary setting and enables the computation of transient solutions. The properties of the resulting linear system of equations are discussed, and results for stationary and transient probability density functions for nonlinear 1D-, 2D- and 4D-systems are presented.
| Original language | English |
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| Title of host publication | Proceedings of the European Control Conference, ECC 2024 |
| Publisher | IEEE |
| Pages | 3829-3834 |
| Number of pages | 6 |
| ISBN (Electronic) | 978-3-9071-4410-7 |
| DOIs | |
| Publication status | Published - 2024 |
| Event | 2024 European Control Conference, ECC 2024 - Stockholm, Sweden Duration: 25 Jun 2024 → 28 Jun 2024 |
Conference
| Conference | 2024 European Control Conference, ECC 2024 |
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| Country/Territory | Sweden |
| City | Stockholm |
| Period | 25/06/24 → 28/06/24 |
Bibliographical note
Green Open Access added to TU Delft Institutional Repository 'You share, we take care!' - Taverne project https://www.openaccess.nl/en/you-share-we-take-careOtherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.