Generalizations and extensions of the Fokker-Planck-Kolmogorov equations

The problem of determining probability density functions of general transformations of random processes is considered in this thesis. A method of solution is developed in which partial differential equations satisfied by the unknown density function are derived. These partial differential equations are interpreted as generalized forms of the classical Fokker-Planck-Kolmogorov equations and are shown to imply the classical equations for certain classes of Markov processes. Extensions of the generalized equations which overcome degeneracy occurring in the steady-state case are also obtained.

The equations of Darling and Siegert are derived as special cases of the generalized equations thereby providing unity to two previously existing theories. A technique for treating non-Markov processes by studying closely related Markov processes is proposed and is seen to yield the Darling and Siegert equations directly from the classical Fokker-Planck-Kolmogorov equations.

As illustrations of their applicability, the generalized Fokker-Planck-Kolmogorov equations are presented for certain joint probability density functions associated with the linear filter. These equations are solved for the density of the output of an arbitrary linear filter excited by Markov Gaussian noise and for the density of the output of an RC filter excited by the Poisson square wave. This latter density is also found by using the extensions of the generalized equations mentioned above. Finally, some new approaches for finding the output probability density function of an RC filter-limiter-RC filter system driven by white Gaussian noise are included. The results in this case exhibit the data required for complete solution and clearly illustrate some of the mathematical difficulties inherent to the use of the generalized equations.

I. Numerical solution of exact pair equations. II. Numerical solution of first-order pair equations

Part I

Numerical solutions to the S-limit equations for the helium ground state and excited triplet state and the hydride ion ground state are obtained with the second and fourth difference approximations. The results for the ground states are superior to previously reported values. The coupled equations resulting from the partial wave expansion of the exact helium atom wavefunction were solved giving accurate S-, P-, D-, F-, and G-limits. The G-limit is -2.90351 a.u. compared to the exact value of the energy of -2.90372 a.u.

Part II

The pair functions which determine the exact first-order wavefunction for the ground state of the three-electron atom are found with the matrix finite difference method. The second- and third-order energies for the (1s1s)¹S, (1s2s)³S, and (1s2s)¹S states of the two-electron atom are presented along with contour and perspective plots of the pair functions. The total energy for the three-electron atom with a nuclear charge Z is found to be E(Z) = -1.125•Z² +1.022805•Z-0.408138-0.025515•(1/Z)+O(1/Z²)a.u.

Stability of parametrically excited differential equations

Sufficient stability criteria for classes of parametrically excited differential equations are developed and applied to example problems of a dynamical nature.

Stability requirements are presented in terms of 1) the modulus of the amplitude of the parametric terms, 2) the modulus of the integral of the parametric terms and 3) the modulus of the derivative of the parametric terms.

The methods employed to show stability are Liapunov’s Direct Method and the Gronwall Lemma. The type of stability is generally referred to as asymptotic stability in the sense of Liapunov.

The results indicate that if the equation of the system with the parametric terms set equal to zero exhibits stability and possesses bounded operators, then the system will be stable under sufficiently small modulus of the parametric terms or sufficiently small modulus of the integral of the parametric terms (high frequency). On the other hand, if the equation of the system exhibits individual stability for all values that the parameter assumes in the time interval, then the actual system will be stable under sufficiently small modulus of the derivative of the parametric terms (slowly varying).

Vectorial solution of Kukhtarev equations for doubly doped crystals and optimal choice of recording directions in nonvolatile holographic storage

Vectorial Kukhtarev equations modified for the nonvolatile holographic recording in doubly doped crystals are analyzed, in which the bulk photovoltaic effect and the external electrical field are both considered. On the basis of small modulation approximation, both the analytic solution to the space-charge field with time in the recording phase and in the readout phase are deduced. The analytic solutions can be easily simplified to adapt the one-center model, and they have the same analytic expressions given those when the grating vector is along the optical axis. Based on the vectorial analyses of the band transport model an optimal recording direction is given to maximize the refractive index change in doubly doped LiNbO3:Fe: Mn crystals. (c) 2007 Optical Society of America.

Redução de dimensionalidade em equilíbrio de fases fluidas

Atualmente, existem modelos matemáticos capazes de preverem acuradamente as relações entre propriedades de estado; e esta tarefa é extremamente importante no contexto da Engenharia Química, uma vez que estes modelos podem ser empregados para avaliar a performance de processos químicos. Ademais, eles são de fundamental importância para a simulação de reservatórios de petróleo e processos de separação. Estes modelos são conhecidos como equações de estado, e podem ser usados em problemas de equilíbrios de fases, principalmente em equilíbrios líquido-vapor. Recentemente, um teorema matemático foi formulado (Teorema de Redução), fornecendo as condições para a redução de dimensionalidade de problemas de equilíbrios de fases para misturas multicomponentes descritas por equações de estado cúbicas e regras de mistura e combinação clássicas. Este teorema mostra como para uma classe bem definidade de modelos termodinâmicos (equações de estado cúbicas e regras de mistura clássicas), pode-se reduzir a dimensão de vários problemas de equilíbrios de fases. Este método é muito vantajoso para misturas com muitos componentes, promovendo uma redução significativa no tempo de computação e produzindo resultados acurados. Neste trabalho, apresentamos alguns experimentos numéricos com misturas-testes usando a técnica de redução para obter pressões de ponto de orvalho sob especificação de temperaturas.

Approximate Solutions by Truncated Taylor Series Expansions of Nonlinear Differential Equations and Related Shadowing Property with Applications

This paper investigates the errors of the solutions as well as the shadowing property of a class of nonlinear differential equations which possess unique solutions on a certain interval for any admissible initial condition. The class of differential equations is assumed to be approximated by well-posed truncated Taylor series expansions up to a certain order obtained about certain, in general nonperiodic, sampling points t(i) is an element of [t(0), t(J)] for i = 0, 1, . . . , J of the solution. Two examples are provided.