DOE OSTI · 1233161
A stochastic diffusion process for Lochner's generalized Dirichlet distribution
Abstract
The method of potential solutions of Fokker-Planck equations is used to develop a transport equation for the joint probability of N stochastic variables with Lochner’s generalized Dirichlet distribution as its asymptotic solution. Individual samples of a discrete ensemble, obtained from the system of stochastic differential equations, equivalent to the Fokker-Planck equation developed here, satisfy a unit-sum constraint at all times and ensure a bounded sample space, similarly to the process developed in for the Dirichlet distribution. Consequently, the generalized Dirichlet diffusion process may be used to represent realizations of a fluctuating ensemble of N variables subject to a conservation principle. Compared to the Dirichlet distribution and process, the additional parameters of the generalized Dirichlet distribution allow a more general class of physical processes to be modeled with a more general covariance matrix.
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Bakosi, J., Ristorcelli, J. R.. 2013-10-01. A stochastic diffusion process for Lochner's generalized Dirichlet distribution. https://doi.org/10.1063/1.4822416
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