### Abstract

Lingua originale | English |
---|---|

pagine (da-a) | 121-128 |

Numero di pagine | 8 |

Rivista | Probabilistic Engineering Mechanics |

Volume | 41 |

Stato di pubblicazione | Published - 2015 |

### Fingerprint

### All Science Journal Classification (ASJC) codes

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

### Cita questo

*Probabilistic Engineering Mechanics*,

*41*, 121-128.

**Efficient solution of the first passage problem by Path Integration for normal and Poissonian white noise.** / Di Paola, Mario; Bucher, Christian; Di Paola, Mario.

Risultato della ricerca: Article

*Probabilistic Engineering Mechanics*, vol. 41, pagg. 121-128.

}

TY - JOUR

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 -