Theoretical and Applied Mechanics Letters (May 2023)

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

  • Yi Luo,
  • Meng-Ze Lyu,
  • Jian-Bing Chen,
  • Pol D. Spanos

Journal volume & issue
Vol. 13, no. 3
p. 100436

Abstract

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Stochastic fractional differential systems are important and useful in the mathematics, physics, and engineering fields. However, the determination of their probabilistic responses is difficult due to their non-Markovian property. The recently developed globally-evolving-based generalized density evolution equation (GE-GDEE), which is a unified partial differential equation (PDE) governing the transient probability density function (PDF) of a generic path-continuous process, including non-Markovian ones, provides a feasible tool to solve this problem. In the paper, the GE-GDEE for multi-dimensional linear fractional differential systems subject to Gaussian white noise is established. In particular, it is proved that in the GE-GDEE corresponding to the state-quantities of interest, the intrinsic drift coefficient is a time-varying linear function, and can be analytically determined. In this sense, an alternative low-dimensional equivalent linear integer-order differential system with exact closed-form coefficients for the original high-dimensional linear fractional differential system can be constructed such that their transient PDFs are identical. Specifically, for a multi-dimensional linear fractional differential system, if only one or two quantities are of interest, GE-GDEE is only in one or two dimensions, and the surrogate system would be a one- or two-dimensional linear integer-order system. Several examples are studied to assess the merit of the proposed method. Though presently the closed-form intrinsic drift coefficient is only available for linear stochastic fractional differential systems, the findings in the present paper provide a remarkable demonstration on the existence and eligibility of GE-GDEE for the case that the original high-dimensional system itself is non-Markovian, and provide insights for the physical-mechanism-informed determination of intrinsic drift and diffusion coefficients of GE-GDEE of more generic complex nonlinear systems.

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