Efficient solution of the first passage problem by Path Integration for normal and Poissonian white noise

被引：27

作者：

Bucher, Christian ^{[1
]}

Di Paola, Mario ^{[2
]}

机构：

[1] Vienna Univ Technol, Ctr Mech & Struct Dynam, A-1040 Vienna, Austria

[2] Dipartimento Ingn Civile Ambientale Aerosp & Mat, I-90128 Palermo, Italy

来源：

PROBABILISTIC ENGINEERING MECHANICS | 2015年 / 41卷

关键词：

First passage problem; Path Integration; White noise; Poisson process; Structural reliability; Random vibration; NONLINEAR-SYSTEMS; DYNAMIC-RESPONSE; PROBABILITY; RELIABILITY;

D O I：

10.1016/j.probengmech.2015.06.007

中图分类号：

TH [机械、仪表工业];

学科分类号：

0802 ;

摘要：

In this paper the first passage problem is examined for linear and nonlinear systems driven by Poissonian and normal white noise input. The problem is handled step-by-step accounting for the Markov properties of the response process and then by Chapman-Kolmogorov equation. The final formulation consists just of a sequence of matrix-vector multiplications giving the reliability density function at any time instant. Comparison with Monte Carlo simulation reveals the excellent accuracy of the proposed method. (C) 2015 Elsevier Ltd. All rights reserved.

引用

页码：121 / 128

页数：8

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