IDEAS home Printed from https://ideas.repec.org/a/plo/pone00/0189994.html
   My bibliography  Save this article

Calculating the Malliavin derivative of some stochastic mechanics problems

Author

Listed:
  • Paul Hauseux
  • Jack S Hale
  • Stéphane P A Bordas

Abstract

The Malliavin calculus is an extension of the classical calculus of variations from deterministic functions to stochastic processes. In this paper we aim to show in a practical and didactic way how to calculate the Malliavin derivative, the derivative of the expectation of a quantity of interest of a model with respect to its underlying stochastic parameters, for four problems found in mechanics. The non-intrusive approach uses the Malliavin Weight Sampling (MWS) method in conjunction with a standard Monte Carlo method. The models are expressed as ODEs or PDEs and discretised using the finite difference or finite element methods. Specifically, we consider stochastic extensions of; a 1D Kelvin-Voigt viscoelastic model discretised with finite differences, a 1D linear elastic bar, a hyperelastic bar undergoing buckling, and incompressible Navier-Stokes flow around a cylinder, all discretised with finite elements. A further contribution of this paper is an extension of the MWS method to the more difficult case of non-Gaussian random variables and the calculation of second-order derivatives. We provide open-source code for the numerical examples in this paper.

Suggested Citation

  • Paul Hauseux & Jack S Hale & Stéphane P A Bordas, 2017. "Calculating the Malliavin derivative of some stochastic mechanics problems," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-18, December.
    • Handle: RePEc:plo:pone00:0189994
    DOI: 10.1371/journal.pone.0189994
    as

    Download full text from publisher

    File URL: https://journals.plos.org/plosone/article?id=10.1371/journal.pone.0189994
    Download Restriction: no
    File URL: https://journals.plos.org/plosone/article/file?id=10.1371/journal.pone.0189994&type=printable
    Download Restriction: no
    File URL: https://libkey.io/10.1371/journal.pone.0189994?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Yang, Xiao-Jun & Machado, J.A. Tenreiro, 2017. "A new fractional operator of variable order: Application in the description of anomalous diffusion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 276-283.
    2. Atangana, Abdon & Gómez-Aguilar, J.F., 2017. "A new derivative with normal distribution kernel: Theory, methods and applications," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 476(C), pages 1-14.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Asifa, & Kumam, Poom & Tassaddiq, Asifa & Watthayu, Wiboonsak & Shah, Zahir & Anwar, Talha, 2022. "Modeling and simulation based investigation of unsteady MHD radiative flow of rate type fluid; a comparative fractional analysis," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 201(C), pages 486-507.
    2. Singh, C.S. & Singh, Harendra & Singh, Somveer & Kumar, Devendra, 2019. "An efficient computational method for solving system of nonlinear generalized Abel integral equations arising in astrophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1440-1448.
    3. Hamid Boulares & Abdelkader Moumen & Khaireddine Fernane & Jehad Alzabut & Hicham Saber & Tariq Alraqad & Mhamed Benaissa, 2023. "On Solutions of Fractional Integrodifferential Systems Involving Ψ-Caputo Derivative and Ψ-Riemann–Liouville Fractional Integral," Mathematics, MDPI, vol. 11(6), pages 1-10, March.
    4. Zhenduo Sun & Nengneng Qing & Xiangzhi Kong, 2023. "Asymptotic Hybrid Projection Lag Synchronization of Nonidentical Variable-Order Fractional Complex Dynamic Networks," Mathematics, MDPI, vol. 11(13), pages 1-17, June.
    5. Owolabi, Kolade M. & Atangana, Abdon, 2017. "Analysis and application of new fractional Adams–Bashforth scheme with Caputo–Fabrizio derivative," Chaos, Solitons & Fractals, Elsevier, vol. 105(C), pages 111-119.
    6. Campos, Rafael G. & Huet, Adolfo, 2018. "Numerical inversion of the Laplace transform and its application to fractional diffusion," Applied Mathematics and Computation, Elsevier, vol. 327(C), pages 70-78.
    7. Zeid, Samaneh Soradi, 2019. "Approximation methods for solving fractional equations," Chaos, Solitons & Fractals, Elsevier, vol. 125(C), pages 171-193.
    8. Zaheer Masood & Muhammad Asif Zahoor Raja & Naveed Ishtiaq Chaudhary & Khalid Mehmood Cheema & Ahmad H. Milyani, 2021. "Fractional Dynamics of Stuxnet Virus Propagation in Industrial Control Systems," Mathematics, MDPI, vol. 9(17), pages 1-27, September.
    9. Hassani, Hossein & Naraghirad, Eskandar, 2019. "A new computational method based on optimization scheme for solving variable-order time fractional Burgers’ equation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 162(C), pages 1-17.
    10. Razminia, Kambiz & Razminia, Abolhassan & Baleanu, Dumitru, 2019. "Fractal-fractional modelling of partially penetrating wells," Chaos, Solitons & Fractals, Elsevier, vol. 119(C), pages 135-142.
    11. Owolabi, Kolade M., 2019. "Mathematical modelling and analysis of love dynamics: A fractional approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 849-865.
    12. Tarasov, Vasily E. & Tarasova, Valentina V., 2018. "Macroeconomic models with long dynamic memory: Fractional calculus approach," Applied Mathematics and Computation, Elsevier, vol. 338(C), pages 466-486.
    13. Saqib, Muhammad & Khan, Ilyas & Shafie, Sharidan, 2018. "Application of Atangana–Baleanu fractional derivative to MHD channel flow of CMC-based-CNT's nanofluid through a porous medium," Chaos, Solitons & Fractals, Elsevier, vol. 116(C), pages 79-85.
    14. Sheng Zhang & Yuanyuan Wei & Bo Xu, 2019. "Fractional Soliton Dynamics and Spectral Transform of Time-Fractional Nonlinear Systems: A Concrete Example," Complexity, Hindawi, vol. 2019, pages 1-9, August.
    15. Ding, Dawei & Yan, Jie & Wang, Nian & Liang, Dong, 2017. "Pinning synchronization of fractional order complex-variable dynamical networks with time-varying coupling," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 41-50.
    16. Riaz, M.B. & Iftikhar, N., 2020. "A comparative study of heat transfer analysis of MHD Maxwell fluid in view of local and nonlocal differential operators," Chaos, Solitons & Fractals, Elsevier, vol. 132(C).
    17. Pang, Denghao & Jiang, Wei & Liu, Song & Jun, Du, 2019. "Stability analysis for a single degree of freedom fractional oscillator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 498-506.
    18. Addai, Emmanuel & Zhang, Lingling & Ackora-Prah, Joseph & Gordon, Joseph Frank & Asamoah, Joshua Kiddy K. & Essel, John Fiifi, 2022. "Fractal-fractional order dynamics and numerical simulations of a Zika epidemic model with insecticide-treated nets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    19. Dubey, Ved Prakash & Dubey, Sarvesh & Kumar, Devendra & Singh, Jagdev, 2021. "A computational study of fractional model of atmospheric dynamics of carbon dioxide gas," Chaos, Solitons & Fractals, Elsevier, vol. 142(C).
    20. Qureshi, Sania & Bonyah, Ebenezer & Shaikh, Asif Ali, 2019. "Classical and contemporary fractional operators for modeling diarrhea transmission dynamics under real statistical data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:plo:pone00:0189994. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: plosone (email available below). General contact details of provider: https://journals.plos.org/plosone/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.