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

Mario Di Paola, Christian Bucher, Mario Di Paola

Risultato della ricerca: Article

11 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 121-128 8 Probabilistic Engineering Mechanics 41 Published - 2015

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White noise
white noise
Probability density function
Linear systems
Nonlinear systems
linear systems
nonlinear systems
multiplication
formulations
simulation
Monte Carlo simulation

All Science Journal Classification (ASJC) codes

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

Cita questo

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

In: Probabilistic Engineering Mechanics, Vol. 41, 2015, pag. 121-128.

Risultato della ricerca: Article

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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.

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