Show simple item record

dc.contributor.authorChen, Yaming
dc.date.accessioned2015-10-06T16:39:09Z
dc.date.available2015-10-06T16:39:09Z
dc.date.issued2014-09
dc.identifier.citationChen, Y. 2014. Dynamical properties of piecewise-smooth stochastic models. Queen Mary University of Londonen_US
dc.identifier.urihttp://qmro.qmul.ac.uk/xmlui/handle/123456789/9129
dc.descriptionPhDen_US
dc.description.abstractPiecewise-smooth stochastic systems are widely used in engineering science. However, the theory of these systems is only in its infancy. In this thesis, we take as an example the Brownian motion with dry friction to illustrate dynamical properties of these systems with respect to three interesting topics: (i) weak-noise approximations, (ii) first-passage time (FPT) problems and (iii) functionals of stochastic processes. Firstly, we investigate the validity and accuracy of weak-noise approximations for piecewise-smooth stochastic differential equations (SDEs), taking as an illustrative example the Brownian motion with pure dry friction. For this model, we show that the weak-noise approximation of the path integral correctly reproduces the known propagator of the SDE at lowest order in the noise power, as well as the main features of the exact propagator with higher-order corrections, provided that the singularity of the path integral is treated with some heuristics. We also consider a smooth regularisation of this piecewise-constant SDE and study to what extent this regularisation can rectify some of the problems encountered in the non-smooth case. Secondly, we provide analytic solutions to the FPT problem of the Brownian motion with dry friction. For the pure dry friction case, we find a phase transition phenomenon in the spectrum which relates to the position of the exit point and affects the tail of the FPT distribution. For the model with dry and viscous friction, we evaluate quantitatively the impact of the corresponding stick-slip transition and of the transition to ballistic exit. We also derive analytically the distributions of the maximum velocity till the FPT for the dry friction model. Thirdly, we generalise the so-called backward Fokker-Planck technique and obtain a recursive ordinary differential equation for the moments of functionals in the Laplace space. We then apply the developed results to analyse the local time, the occupation time and the displacement of the dry friction model. Finally, we conclude this thesis and state some related unsolved problems.en_US
dc.description.sponsorshipChinese Scholarship Councilen_US
dc.language.isoenen_US
dc.publisherQueen Mary University of Londonen_US
dc.subjectMathematicsen_US
dc.subjectStochastic systemsen_US
dc.subjectBrownian motionen_US
dc.subjectPiecewise-smooth stochastic systemsen_US
dc.titleDynamical properties of piecewise-smooth stochastic modelsen_US
dc.typeThesisen_US
dc.rights.holderThe copyright of this thesis rests with the author and no quotation from it or information derived from it may be published without the prior written consent of the author


Files in this item

Thumbnail

This item appears in the following Collection(s)

  • Theses [2752]
    Theses Awarded by Queen Mary University of London

Show simple item record