Association Journal of CSIAM
Supervised by Ministry of Education of PRC
Sponsored by Xi'an Jiaotong University
ISSN 1005-3085  CN 61-1269/O1

The Non-stationary State Solution of Non-linear Drift Fokker-Planck Equation with Non-Gaussian Noise and its Application

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  • School of Mathematics Science, Tianjin Polytechnic University, Tianjin  300387

Received date: 2018-05-16

  Accepted date: 2019-04-29

  Online published: 2019-04-29

Supported by

The National Natural Science Foundation of China (11672207); the Natural Science Foundation of Tianjin Municipality (17JCYBJC15700).

Abstract

Non-Gaussian noise widely exists in many kinds of nonlinear systems. The study about the non-stationary state evolution behavior of the system driven by non-Gaussian noise can help us to understand its inherent evolution mechanism more deeply. In this paper, we investigate the non-stationary state evolution problem of the non-linear dynamical system driven by both non-Gaussian noise and Gaussian white noise. First, the non-linear dynamical system is linearized in the initial area by using the $\Omega$-expansion of the Green function. Then, we obtain the expression for the approximate non-stationary state solution through the eigenvalue and eigenvector theory. Finally, taking the Logistic model as an example, we examine the influences of the non-Gaussian noise intensity, the correlation time and the deviation parameter on the non-stationary state solution and its mean. The results show that when the Logistic model is used to describe the growth of product output, the non-stationary state solution can better reflect the evolution behavior of the product output near the unstable point.

Cite this article

YAO Ting, GUO Yong-feng, FAN Shun-hou, WEI Fang . The Non-stationary State Solution of Non-linear Drift Fokker-Planck Equation with Non-Gaussian Noise and its Application[J]. Chinese Journal of Engineering Mathematics, 2020 , 37(3) : 303 -313 . DOI: 10.3969/j.issn.1005-3085.2020.03.005

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