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.

Equivalent differential equations for nonlinear dynamical systems

A technique for obtaining approximate periodic solutions to nonlinear ordinary differential equations is investigated. The approach is based on defining an equivalent differential equation whose exact periodic solution is known. Emphasis is placed on the mathematical justification of the approach. The relationship between the differential equation error and the solution error is investigated, and, under certain conditions, bounds are obtained on the latter. The technique employed is to consider the equation governing the exact solution error as a two point boundary value problem. Among other things, the analysis indicates that if an exact periodic solution to the original system exists, it is always possible to bound the error by selecting an appropriate equivalent system.

Three equivalence criteria for minimizing the differential equation error are compared, namely, minimum mean square error, minimum mean absolute value error, and minimum maximum absolute value error. The problem is analyzed by way of example, and it is concluded that, on the average, the minimum mean square error is the most appropriate criterion to use.

A comparison is made between the use of linear and cubic auxiliary systems for obtaining approximate solutions. In the examples considered, the cubic system provides noticeable improvement over the linear system in describing periodic response.

A comparison of the present approach to some of the more classical techniques is included. It is shown that certain of the standard approaches where a solution form is assumed can yield erroneous qualitative results.

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.

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.

Validation of back-calculation equations for juvenile bluefish (Pomatomus saltatrix) with the use of tetracycline-marked otoliths

In recent years, a decrease in the abundance of bluefish (Pomatomus saltatrix) has been observed (Fahay et al., 1999; Munch and Conover, 2000) that has led to increased interest in a better understanding the life history of the species. Estimates of several young-of-the-year (YOY) life history characteristics, including the importance and use of estuaries as nursery habitat (Kendall and Walford, 1979) and size-dependant mortality (Hare and Cowen, 1997), are reliant upon the accuracy of growth determination. By using otoliths, it is possible to use back-calculation formulae (BCFs) to estimate the length at certain ages and stages of development for many species of fishes. Use of otoliths to estimate growth in this way can provide the same information as long-term laboratory experiments and tagging studies without the time and expense of rearing or recapturing fish. The difficulty in using otoliths in this way lies in validating that 1) there is constancy in the periodicity of the increment formation, and 2) there is no uncoupling of the relationship between somatic and otolith growth. To date there are no validation studies demonstrating the relationship between otolith growth and somatic growth for bluefish. Daily increment formation in otoliths has been documented for larval (Hare and Cowen, 1994) and juvenile bluefish (Nyman and Conover, 1988). Hare and Cowen (1995) found ageindependent variability in the ratio of otolith size to body length in early age bluefish, although these differences varied between ontogenetic stages. Furthermore, there have been no studies where an evaluation of back-calculation methods has been combined with a validation of otolithderived lengths for juvenile bluefish.