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ForsChem Research Reports

2016-1
Modelling the effect of fluctuation in nonlinear systems using variance
algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research, Medellin 050030, Colombia
hugo.hernandez@forschem.org
ORCID : 0000-0002-7634-7161
doi: 10.13140/RG.2.2.36501.52969

Abstract
The main purpose of this paper is to illustrate the use of the properties and algebra of variance
as a useful tool for modelling the effect of normal random fluctuations in nonlinear systems.
Any arbitrary differentiable nonlinear function of normal random variables ( ) can be
expressed as a power series expansion of standard normal random variables ( ). Given that
the properties and algebra of the expected value, variance and covariance of are known, it is
possible to obtain a simplified mathematical model for the expected value and variance of the
dependent variable as a function of the normal random fluctuation of the independent
variables. The proposed method is used for describing the effect of fluctuations in temperature
and pressure on the density of an ideal gas, and on the intensity of light scattered by the ideal
gas. The results of the model obtained are compared to Monte Carlo simulations of the system.

Keywords
Fluctuation; Ideal Gas; Light Scattering; Monte Carlo Simulation; Variance Algebra

1. Introduction
Random fluctuations occur everywhere in Nature [1]. The law of large numbers indicates that
by increasing the frequency of occurrences of events, the number of measurements or the size
of a system, the effect of fluctuations is reduced [2]. However, fluctuations remain as an
important part of our World. Conventional modelling techniques are based on the average
behavior of the systems. This type of modelling is also known as deterministic modelling. But
fluctuation plays a key role in certain phenomena, such as for example, the scattering of light,
turbulence, the onset of phase changes, polymer growth, enzymatic reactions, gene
expression, nuclear and exothermic reactors, the weather, and many others [3-13]. Most
importantly, these systems where fluctuation is relevant are complex highly nonlinear systems,

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

so the effect of the fluctuation in most cases cannot be easily determined by conventional
deterministic modelling methods.
The purpose of this paper is to present a basic mathematical tool proposed for modelling the
effect of random fluctuation in nonlinear systems. It is therefore required to understand how
random variables behave, and this is not only regarding the expected value but mainly the
variance. The mathematical basics of variance algebra are presented in Section 2. An example
of application to the scattering of light in ideal gases is described and analyzed in Section 3.

2. Variance Algebra
Definition 1. The variance
of a random variable is defined as the second moment with
respect to the mean value , and it is expressed as: [14]
( )
[(
) ]
(2.1)
where the symbol E() represents the expected value operator.
Definition 2. For a discrete random variable, the expected value is defined as:
( )

where

(2.2)

is the probability of occurrence for the value

, and

Definition 3. For a continuous random variable, the expected value is defined as:
( )

( )

(2.3)

where ( ) is the probability density function of , and represents all possible realizations of
. Equivalently, the probability density function has the following property:

( )

(2.4)

Definition 4. Expected value of a function of . The following definition is valid for a function
of a single continuous random variable :
[ ( )]

( ) ( )

(2.5)

In the present work, the effect of continuous random variables on the fluctuation of nonlinear
systems is analyzed, although some of the results obtained may also be valid for discrete
random variables.

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

For understanding variance algebra, it is important first to understand the basic algebra of the
expected value operator. These results are obtained by applying Definition 4.

Addition of a constant value to a random variable .


(

) ( )

( )

( )

( )
(2.6)

can be either positive or negative, so the following expression is equivalent:


(
)
( )
(2.7)
Multiplication of a constant value to a random variable .
( ) ( ) ( )
( )
( )
(2.8)

, the following remains true:

Assuming
( )

( )

(2.9)

Sum of random variables


:
(
)
( )
( )
Or, in the more general case:
(
)
( )
( )

(2.10)
(2.11)

On the other hand, we have variance algebra. Using Definitions 1 and 3, as well as the basic
algebra of the expected value operator, we obtain that:
( )

[(

) ]
( )

[
[ ( )]

( )

(2.12)
And similarly to the expected value, the variance of a general function of a random variable can
be determined.
Definition 5. The variance of a function
[ ( )]

([ ( )] )

of a single random variable

is:

[ ( ( ))]

(2.13)

Thus, the basic algebra of the variance operator is:

Addition of a constant value to a random variable :


(
)
((
)]
) ) [ (
(

( )

( ( ))

[( ( ))

( )

( )
(2.14)

Similarly,
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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

(
)
( )
Multiplication of a constant value to a random variable :
(

( (

))

(2.15)

( ( ))

[ (

( ( )) ]

( )
(2.16)
Correspondingly,
( )

( )

(2.17)

It can be summarized that for a general function of the form


value and variance are:
(

)
(

, the expected

( )
)

(2.18)

( )

(2.19)

Equations (2.18) and (2.19) are valid for any arbitrary probability distribution.

Sum of random variables


:
(
)
((
) ) [ (
[
(

)]
]

[( ( ))

( ( ))
( )
( )

( ) ( )

) ( ( ))
(
)

( ( )) ]
)

( ) ( )
(2.20)

where
(

Definition 6.
(

) is the covariance of

[(

( ))(

( ))]

and , defined as:


(

( ) ( )

(2.21)

Notice that:
(

( ( ))

( )

(2.22)

In general, it can be found that


(

( )

( )

(2.23)

In natural processes, the normal distribution is the most common distribution, as a direct result
of the Central Limit Theorem [15], which establishes that the sum of different independent
random variables tends toward a distribution with the following probability density function:

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org
(

( )

(2.24)

where is the mean or the expected value of the distribution, and is the standard deviation
of the distribution, equivalent to the square root of the variance. For any arbitrary random
variable , the mean and standard deviation are:
( )

(2.25)
( )

(2.26)

The distribution described by Eq. (2.24), known as Gaussian distribution or bell curve, is a
normal distribution of mean , and standard deviation . The standard version of the normal
) and a standard
distribution (denoted as ) is characterized by a mean value of zero (
deviation of one (
). And from Eq. (2.25) and (2.26):
( )

(2.27)

( )

(2.28)

Definition 7. Any normal random variable with mean


related to a standard normal random variable , by:

and standard deviation , can be

(2.29)
From Eq. (2.18)-(2.19) and (2.27)-(2.29), it can be shown that:
( )

( )

( )

(2.30)
( )

(2.31)

This is a very interesting result, as the behavior of any normal random variable can be described
in terms of the standard normal distribution .
In order to obtain the variance of any arbitrary function of a normal random variable , it is
useful to describe the function as a series expansion around the mean ( ) as follows:
( )
where
( )

( )

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( )(

is the n-th derivative of


( )(

(2.32)
with respect to . Replacing Eq. (2.29) in Eq. (2.32):

(2.33)

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Proposition 1. Any arbitrary differentiable nonlinear function of a normal random variable


with mean and standard deviation can be expressed as the infinite series expansion (2.33)
Thus, the expected value of ( ) is:
[ ( )]

( )(

( )(

(2.34)

and the variance of ( ) is:


[ ( )]

( )

( )

(2.35)

By using Eq. (2.23), Eq. (2.35) can be transformed into:


( )

[ ( )]

( )

( )

( )

( )

( )

)
(2.36)

where
(

[ (

)]

(2.37)

and
(

) (

(2.38)

Proposition 2. The variance of any arbitrary differentiable nonlinear function of a normal


random variable with mean and standard deviation , can be expressed as a function (2.36) of
the expected values of the powers of a standard normal random variable .
Let us now understand the behavior of (
expected value of
is:
(

(2.39)

If is an odd number (
(

). From Definition 4 and 7, and Eq. (2.24), the

), then by symmetry:

(2.40)

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

If is an even number (
(

), then by symmetry:

(2.41)

The integral in Eq. (2.41) can be solved by multiple partial substitutions considering the
following useful equations [16]:

(2.42)

(2.43)

For example, for


(

For

(2.44)

(2.45)

Generalizing for any value of


(

(2.46)

(2.47)

In summary,
(

Similarly, from Eq. (2.37) and (2.47) the variance of


(

will be given by:

and from Eqs. (2.38), (2.47) and (2.48), the covariance between

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(2.48)

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and

will be given by:

2016-1 (7 / 19)

Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org
(

(
(

)
(

) (

{
(2.49)
By using Definition 7, it is possible to transform any arbitrary differentiable nonlinear function
of a normal random variable , into a function of the standard normal variable :
( )

( )

(2.50)

and therefore:
[ ( )]

[ ( )]

( )]
[

( )]

( )

( )

( )(

(2.51)
(

( )(

( )(

(2.52)
We have now all the elements required to determining the expected value and the variance of
any given arbitrary differentiable nonlinear function of a normal random variable.

3. Application to the light scattering of an ideal gas


Let us first consider an ideal gas at constant temperature ( ) and pressure ( ). Under these
conditions, the density of the gas ( ) can be determined by [17]:
(3.1)
where

is the molecular weight of the gas, and

is the Universal gas constant.

Assuming that pressure is a normal random variable whereas the temperature is constant, from
Definition 7 it is possible to describe the fluctuating pressure as:
(3.2)

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

where
represents the mean pressure and
denotes the standard deviation of the
fluctuations in pressure. Thus, the density of the gas considering normal fluctuations in
pressure will be:
(

(3.3)

The gas density is now a function of the standard normal random variable
( )

and therefore:
(3.4)

Since Eq. (3.4) is already a linear function of there is no need to make the series expansion,
and the basic algebra of expected values and variance can be used.
The expected value of the gas density would be:
( )

( )

(3.5)

and its variance:


( )

( )

(3.6)

Gas density fluctuations are important because they cause fluctuations in the relative
permittivity of the gas, which are responsible for the scattering of light by the atmosphere
(Rayleigh scattering) [18].
Let us now assume that temperature fluctuates around its mean value following a normal
random distribution while the pressure is constant.
Again from Definition 7, the temperature can be expressed as:
(3.7)
represents the mean temperature, whereas
denotes the standard deviation of the
fluctuations in temperature. Thus the density of the gas considering fluctuations in
temperature will be:
( )

(3.8)

The basic algebra of the expected value and the variance is not straightforward now, and the
series expansion is required (Proposition 1):

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( )(

)
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(3.9)
2016-1 (9 / 19)

Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

The expected value of the gas density will be:


( )

( )

)
( )

[
( )

( )

For small temperature fluctuations (


after the second term as:
[

( )

)]

( )

(3.10)

(3.11)

), Eq. (3.11) can be approximated by truncating

( ) ]

(3.12)

It is observed that the mean gas density is not affected by fluctuations in pressure, but
increases as the fluctuations in temperature increase. This is the result of the nonlinearity of
the effect of temperature. Negative fluctuations in temperature increase gas density more
than positive fluctuations reduce it, and the net effect is an increase of the mean gas density as
a function of the relative magnitude of the fluctuations. Furthermore, this effect is more
significant at lower temperatures.
The variance of the gas density under a fluctuating temperature will be:
( )

[
(

(
) [ (

)
)

]
(

)]
(3.13)

For small temperature fluctuations (


term:
(

) ( ) (

), truncating the summations after the second

( ) )

(3.14)

A validation of these results can be done by Monte Carlo (MC) simulation [19]. Normal random
numbers are generated for describing the fluctuation in temperature, whereas density is
calculated according to Eq. (3.8). The following values were considered in the simulation:

,
,
,
. Different values of
were assumed. Simulated mean density and standard deviation are obtained from 2000
realizations. The comparison between the simulated values and the values predicted from Eq.
(3.12) and (3.14) are presented in Figures 1 and 2. In both cases, the predicted behavior of the
gas density is consistent with the simulation results, especially for small relative temperature
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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

fluctuations (<12%). The relative fluctuation is also known as the coefficient of variation (CV)
[14]. Figure 1 also shows the 95% confidence limits for the mean gas density, calculated by
, where is the number of realizations. Deviations observed in Figure 2 for
larger fluctuations (CV > 12%) are mainly due to the truncation of the expansion, performed in
Eq. (3.14). For larger fluctuations, additional terms of the series should be considered.
1.210
MC Simulation
Calculated (3.12)
95% Confidence limits

Mean gas density, (kg/m3)

1.205
1.200
1.195

1.190
1.185
1.180
1.175
1.170
1.165
1.160
0.00

0.05

0.10

0.15

Relative temperature fluctuation, T/T


Figure 1. Comparison of mean gas density ( ) results, considering a normal fluctuation in
temperature, between Monte Carlo simulation (2000 realizations) and Equation (3.12). 95%
confidence intervals for Eq. (3.12) are included.

An additional degree of complexity is found when both pressure and temperature are
considered to fluctuate simultaneously. In this case, from Definition 7 and Eq. (3.1):
( )

(3.15)

It is important noticing that each variable can be described as a function of a standard normal
random variable, but they are different and independent. For this reason two standard normal
random variables are introduced: and .

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Gas density fluctuation, (kg/m3)

0.25
MC Simulation
Calculated (3.14)
0.20
0.15

0.10
0.05
0.00
0.00

0.02

0.04

0.06

0.08

0.10

0.12

0.14

0.16

Relative temperature fluctuation, T/T


Figure 2. Comparison of the fluctuation in gas density ( ), considering a normal fluctuation in
temperature, between Monte Carlo simulation (2000 realizations) and Equation (3.14).
It is also important to consider the following properties of two independent standard normal
random variables:
(

)
(

) (
(

)
)

) (

) (

)[ (
) (

)]
)

(3.16)
(

)[ (
) (

)]
)

(3.17)
(

) (

(3.18)

Now, transforming Eq. (3.15) into a series expansion (Proposition 1):


(

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(3.19)

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

The expected value of the gas density will be:


( )

)]

(3.20)
Neglecting the terms for which
[

( ) ]

(3.21)

That is, the mean gas density depends on the temperature fluctuation but not on the pressure
fluctuation.
And the variance for this case is (Proposition 2):
( )

)
(

)(

[(
) [

[ (

[ (
(

)
)

]
)

(
(

(
)

)]

)]

)]
(3.22)

Considering up to the second term in the summations:


(

) [

( ) (

)(

( ) )]

(3.23)

Figure 3 and 4 present the results of MC simulation for the mean and standard deviation of the
gas density, considering the simultaneous fluctuation of temperature and pressure compared
to the values obtained from Eq. (3.21) and (3.23). The same conditions as in the previous
simulation were used, with a value of
, and changing the relative fluctuation in
pressure. Again, the proposed mathematical approximation is in good agreement with the MC
simulation.

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

1.200
MC Simulation
Mean gas density, (kg/m3)

1.195

Calculated (3.21)
95% Confidence limits

1.190
1.185
1.180
1.175
1.170
1.165
1.160
0.00

0.02

0.04

0.06

0.08

0.10

0.12

0.14

0.16

Relative pressure fluctuation, P/P


Figure 3. Comparison of mean gas density ( ) results, considering normal fluctuations in
temperature and pressure, between Monte Carlo simulation (2000 realizations) and Equation
(3.21). 95% confidence limits for Eq. (3.21) are included. Relative temperature fluctuation = 10%.

Notice that Eq. (3.21) is equivalent to Equations (3.5) and (3.12), when
and
respectively. Similarly, Eq. (3.23) is equivalent to Equations (3.6) and (3.14) when
, respectively.

,
and

It can also be concluded that considering up to the second term in the summations is a fairly
good approximation for small relative fluctuations (CV < 12%).
As it was previously mentioned, light scattering takes place as a result of fluctuations in the
relative permittivity ( ) of the atmosphere caused by density fluctuations. The intensity of the
light scattered at a distance and an angle , is proportional to the variance of the relative
permittivity:[18]
(
where

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( ))

(3.24)

is the intensity of the incident light with a wavelength on a region of volume .

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Gas density fluctuation, (kg/m3)

0.24
MC Simulation
Calculated (3.23)

0.22
0.20
0.18
0.16

0.14
0.12
0.10
0.00

0.02

0.04

0.06

0.08

0.10

0.12

0.14

0.16

Relative pressure fluctuation, P/P


Figure 4. Comparison of the fluctuation in gas density ( ), considering normal fluctuations in
temperature and pressure, between Monte Carlo simulation (2000 realizations) and Equation
(3.23). Relative temperature fluctuation = 10%.
In addition, the relative permittivity can be related to the density by the Clausius-Mossotti
equation: [18]
(3.25)
where

is a constant and is characteristic for each gas.

Rearranging Eq. (3.25):


(3.26)
Considering that the gas density is a normal random variable with mean
deviation , then
(
(

and standard

(3.27)

Expanding in series (Proposition 1), it can be found that:

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

(3.28)

Truncating the series from the second term forward:


(

)(

(3.29)

The approximated expected value will then be:


(

(3.30)

And its variance (Proposition 2):


(

) (

(3.31)

Or equivalently, in terms of
(

) (

( )

(3.32)

1.18E-03

Relative permittivity minus 1, -1

MC simulation

Calculated (3.30)
1.17E-03

1.16E-03

1.15E-03
0.00

0.02

0.04

0.06

0.08

0.10

0.12

Relative density fluctuation,

Figure 5. Comparison of the values for the mean relative permittivity minus one (
),
considering normal fluctuations in density, between Monte Carlo simulation (2000 realizations)
and Equation (3.30). 95% confidence limits for Eq. (3.30) are included.

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

That is, the expected value of relative permittivity is practically independent of the fluctuations
in density, but the variance of relative permittivity is proportional to the variance of gas
density. Therefore, the intensity of light scattering is also proportional to the variance of gas
density. Figures 5 and 6 show the expected value and variance of the relative permittivity
calculated with Eq. (3.30) and (3.31), respectively, compared to the values obtained by MC
simulation for 2000 realizations. Different values for the standard deviation of gas density were
considered. The characteristic constant of the gas was assumed to be
m3/kg.
The mean density of the gas was assumed to be 1.176 kg/m3. Again, the equations derived are in
good agreement with the simulation results.
1.6E-04

MC simulation

Relative permittivity fluctuation,

1.4E-04

Calculated (3.31)

1.2E-04
1.0E-04
8.0E-05
6.0E-05

4.0E-05
2.0E-05
0.0E+00
0

0.02

0.04

0.06

0.08

0.1

0.12

Relative density fluctuation,

Figure 6. Comparison of the fluctuation in relative permittivity ( ), considering normal


fluctuations in density, between Monte Carlo simulation (2000 realizations) and Equation
(3.31).

Now, combining Equations (3.21), (3.23) and (3.32), the fluctuation in the relative permittivity
can be expressed as a function of small fluctuations in temperature and pressure, assuming an
ideal gas:
(

)(

) (

) )]

(3.32)
[

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)(
(

) ]

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Modelling the effect of fluctuation in nonlinear systems using


variance algebra - Application to light scattering of ideal gases
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Thus, from (3.24) and (3.32), the intensity of light scattered by an ideal gas can be expressed as:
(

( )) [

)(

) (

)(

) )]

(3.33)
[

) ]

So, the intensity of the light scattered by an ideal gas will be influenced in a complex way, by
the fluctuations in both temperature and pressure, which on the other hand, depend on the
scale considered (i.e. volume ). This is an effect that can be used, for example, for relating
thermal diffusivity with scattering intensity [20].
In conclusion, variance algebra and power series expansions can be used to model the effect of
random variables in nonlinear systems. This was exemplarily shown for studying the effect of
temperature and pressure perturbations on the density and on the scattering of light for an
ideal gas. Monte Carlo simulations confirmed the validity of the proposed approach.

Acknowledgments
The author gratefully acknowledges the helpful discussions with Prof. Dr. Silvia Ochoa
(Universidad de Antioquia) and Prof. Jaime Aguirre (Universidad Nacional de Colombia).
This research did not receive any specific grant from funding agencies in the public,
commercial, or not-for-profit sectors.

References
[1] F. Beichelt, Applied Probability and Stochastic Processes, 2nd ed., CRC Press, Boca Raton,
2016.
[2] I. Hacking, Nineteenth century cracks in the concept of determinism, J. History of Ideas 44
(1983) 455-475.
[3] M. Kerker, The scattering of light and other electromagnetic radiation, Academic press,
New York, 1969.
[4] H. Tennekes, J. L. Lumley, A first course in turbulence, MIT press, Boston, 1972.
[5] L. E. Reichl, I. Prigogine, A modern course in statistical physics, University of Texas press,
Austin, 1980.

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Modelling the effect of fluctuation in nonlinear systems using


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Hugo Hernandez
ForsChem Research
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