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arXiv · 1811.12383

A systematic path to non-Markovian dynamics: New response pdf evolution equations under Gaussian coloured noise excitation

K. I. Mamis·G. A. Athanassoulis·Z. G. Kapelonis
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Abstract

Determining evolution equations governing the probability density function (pdf) of non-Markovian responses to random differential equations (RDEs) excited by coloured noise, is an important issue arising in various problems of stochastic dynamics, advanced statistical physics and uncertainty quantification of macroscopic systems. In the present work, such equations are derived for a scalar, nonlinear RDE under additive coloured Gaussian noise excitation, through the stochastic Liouville equation. The latter is an exact, yet non-closed equation, involving aver-ages over the time history of the non-Markovian response. This nonlocality is treated by applying an extension of the Novikov-Furutsu theorem and a novel approximation, employing a stochastic Volterra-Taylor functional expansion around instantaneous response moments, leading to efficient, closed, approximate equations for the response pdf. These equations retain a tractable amount of nonlocality and nonlinearity, and they are valid in both the transient and long-time regimes for any correlation function of the excitation. Also, they include as special cases various existing relevant models, and generalize Hanggi's ansatz in a rational way. Numerical results for a bistable nonlinear RDE confirm the accuracy and the efficiency of the new equations. Extension to the multidimensional case (systems of RDEs) is feasible, yet laborious.

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K. I. Mamis, G. A. Athanassoulis, Z. G. Kapelonis. 2019-06-27. A systematic path to non-Markovian dynamics: New response pdf evolution equations under Gaussian coloured noise excitation. https://doi.org/10.1098/rspa.2018.0837

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