Equation governing the probability density evolution of multi-dimensional linear fractional differential systems subject to Gaussian white noise

• Published in: Theoretical and applied mechanics letters Vol. 13; no. 3; p. 100436
• Main Authors: Luo, Yi, Lyu, Meng-Ze, Chen, Jian-Bing, Spanos, Pol D.
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 01.05.2023; Elsevier
• Subjects: Analytical intrinsic drift coefficient; Dimension reduction; Globally-evolving-based generalized density evolution equation (GE-GDEE); Linear fractional differential system; Non-Markovian system; Analytical intrinsic drift coefficient; Dimension reduction; Linear fractional differential system; Non-Markovian system; Globally-evolving-based generalized density evolution equation (GE-GDEE)

•An exact low-dimensional partial differential equation with analytical coefficients governing the probability density evolution of multi-dimensional linear fractional differential systems subject to Gaussian white noise is established.•The remarkable demonstration on the existence and eligibility o...