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

Mario Di Paola; Christian Bucher; Mario Di Paola

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

Mario Di Paola, Christian Bucher, Mario Di Paola

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Risultato della ricerca: Article › peer review

15 Citazioni (Scopus)

Abstract

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.

Lingua originale	English
pagine (da-a)	121-128
Numero di pagine	8
Rivista	Probabilistic Engineering Mechanics
Volume	41
Stato di pubblicazione	Published - 2015

All Science Journal Classification (ASJC) codes

Nuclear Energy and Engineering
Condensed Matter Physics
Aerospace Engineering
Ocean Engineering
Mechanical Engineering
Statistical and Nonlinear Physics
Civil and Structural Engineering

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

abstract = "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.",

author = "{Di Paola}, Mario and Christian Bucher and {Di Paola}, Mario",

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T1 - Efficient solution of the first passage problem by Path Integration for normal and Poissonian white noise

AU - Di Paola, Mario

AU - Bucher, Christian

AU - Di Paola, Mario

PY - 2015

Y1 - 2015

N2 - 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.

AB - 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.

UR - http://hdl.handle.net/10447/193547

M3 - Article

VL - 41

SP - 121

EP - 128

JO - Probabilistic Engineering Mechanics

JF - Probabilistic Engineering Mechanics

SN - 0266-8920

ER -