Abstract
The problems that often arise in stochastic dynamics can be investigated using the Fokker–Planck (FP) equation. The response of a such systems being subjected to additive and/or multiplicative random noise is represented by probability density function (PDF) that gives the full information about a response random character. Various analytic and semi-analytic solution methods have been developed for various systems to obtain results requested. However numerical approaches offer a powerful alternative. In particular the Finite Element Method (FEM) seems to be very effective. A couple of single dynamic linear/non-linear (Duffing and Van Der Pol type) systems under additive and multiplicative random excitations are discussed using FEM as a solution tool of the FP equation. The resulting PDFs are analyzed and if the analytic results exist mutually compared.
Published Version
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