Certain problems with the application of stochastic diffusion processes for description of chemical engineering phenomena; Modelling of processes by means of stochastic differential equations

1988 ◽  
Vol 53 (7) ◽  
pp. 1500-1518 ◽  
Author(s):  
Vladimír Kudrna
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Chemical Engineering ◽  
Diffusion Processes ◽  
Transport Equations ◽  
Diffusion Equations ◽  
Stochastic Diffusion ◽  
Direct Use

The paper points at certain problems associated with direct use of stochastic differential equations for description of chemical engineering processes or with the use of corresponding diffusion equations. It is shown that on the basis of various definitions one can write down three types of stochastic differential equations which might, in principle, describe the same process. One of these types is at the same time equivalent to the classic transport equations common in chemical engineering. A method is described removing these inconsistencies.

Certain Problems with the Application of Stochastic Diffusion Processes for the Description of Chemical Engineering Phenomena. Relations between Different Types of Diffusion Equations

1992 ◽  
Vol 57 (6) ◽  
pp. 1248-1261 ◽  
Author(s):  
Vladimír Kudrna ◽  
Daniel Turzík
Keyword(s):  
Differential Equations ◽  
Diffusion Equation ◽  
Stochastic Differential Equations ◽  
Chemical Engineering ◽  
Diffusion Processes ◽  
Point Of View ◽  
Diffusion Equations ◽  
Complex Diffusion ◽  
Different Types ◽  
Individual Particles

The dependence is discussed between the "clasical" diffusion equation commonly used in chemical engineering and the stochastic differential equations which describe this diffusion from the point of view of micromotion of individual particles. The resulting equations can be useful above all for the modelling of more complex diffusion processes.

Certain problems with the application of stochastic diffusion processes for description of chemical engineering phenomena; Kolmogorov and classic diffusion equations

1988 ◽  
Vol 53 (6) ◽  
pp. 1181-1197
Author(s):  
Vladimír Kudrna
Keyword(s):  
Mass Transfer ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Chemical Engineering ◽  
Diffusion Processes ◽  
Parabolic Type ◽  
Diffusion Equations ◽  
Stochastic Motion ◽  
Energy Component ◽  
Classic Form

The paper presents alternative forms of partial differential equations of the parabolic type used in chemical engineering for description of heat and mass transfer. It points at the substantial difference between the classic form of the equations, following from the differential balances of mass and enthalpy, and the form following from the concept of stochastic motion of particles of mass or energy component. Examples are presented of the processes that may be described by the latter method. The paper also reviews the cases when the two approaches become identical.

Certain Problems with the Application of Stochastic Diffusion Processes for the Description of Chemical Engineering Phenomena. Numerical Simulation of One-Dimensional Diffusion Process

1996 ◽  
Vol 61 (4) ◽  
pp. 512-535 ◽  
Author(s):  
Pavel Hasal ◽  
Vladimír Kudrna
Keyword(s):  
Numerical Simulation ◽  
Diffusion Coefficient ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Chemical Engineering ◽  
Diffusion Processes ◽  
Stochastic Integral ◽  
Random Motion ◽  
One Dimensional ◽  
Dimensional Diffusion

Some problems are analyzed arising when a numerical simulation of a random motion of a large ensemble of diffusing particles is used to approximate the solution of a one-dimensional diffusion equation. The particle motion is described by means of a stochastic differential equation. The problems emerging especially when the diffusion coefficient is a function of spatial coordinate are discussed. The possibility of simulation of various kinds of stochastic integral is demonstrated. It is shown that the application of standard numerical procedures commonly adopted for ordinary differential equations may lead to erroneous results when used for solution of stochastic differential equations. General conclusions are verified by numerical solution of three stochastic differential equations with different forms of the diffusion coefficient.

Certain problems with the application of stochastic diffusion processes for description of chemical engineering phenomena; Diffusion equations in curvilinear coordinates

1991 ◽  
Vol 56 (3) ◽  
pp. 602-618
Author(s):  
Vladimír Kudrna
Keyword(s):  
Heat Transfer ◽  
Mass Transport ◽  
Probability Density ◽  
Chemical Engineering ◽  
Diffusion Processes ◽  
Curvilinear Coordinates ◽  
Diffusion Equations ◽  
Parabolic Partial Differential Equations ◽  
Spherical Coordinates ◽  
Transformation Procedure

Parabolic partial differential equations used in chemical engineering for the description of mass transport and heat transfer and analogous relationship derived in stochastic processes theory are given. A standard transformation procedure is applied, allowing these relations to be generally written in curvilinear coordinates and particular expressions for cylindrical and spherical coordinates to be derived. The relation between the probability density for the position of a discernible particle and the concentration of a set of such particles is discussed.

On effects of discretization on estimators of drift parameters for diffusion processes

1996 ◽  
Vol 33 (04) ◽  
pp. 1061-1076 ◽  
Author(s):  
P. E. Kloeden ◽  
E. Platen ◽  
H. Schurz ◽  
M. Sørensen
Keyword(s):  
Parameter Estimation ◽  
Maximum Likelihood ◽  
Numerical Methods ◽  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Discrete Time ◽  
Diffusion Processes ◽  
Maximum Likelihood Estimators ◽  
Statistical Properties ◽  
Stochastic Integrals

In this paper statistical properties of estimators of drift parameters for diffusion processes are studied by modern numerical methods for stochastic differential equations. This is a particularly useful method for discrete time samples, where estimators can be constructed by making discrete time approximations to the stochastic integrals appearing in the maximum likelihood estimators for continuously observed diffusions. A review is given of the necessary theory for parameter estimation for diffusion processes and for simulation of diffusion processes. Three examples are studied.

scholarly journals Stochastic Measure Diffusion Processes

1979 ◽  
Vol 22 (2) ◽  
pp. 129-138 ◽  
Author(s):  
Donald A. Dawson
Keyword(s):  
Differential Equation ◽  
Partial Differential Equations ◽  
Differential Equations ◽  
Stochastic Differential Equation ◽  
Stochastic Differential Equations ◽  
Stochastic Partial Differential Equations ◽  
Diffusion Processes ◽  
Partial Differential ◽  
Stochastic Measure ◽  
Recent Developments

The purpose of this article is to give an introduction to the study of a class of stochastic partial differential equations and to give a brief review of some of the recent developments in this field. This study has evolved naturally out of the theory of stochastic differential equations initiated in a pioneering paper of K. Itô [13]. In order to set this review in its appropriate setting we begin by considering a simple scalar stochastic differential equation.

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