Path integral method for first-passage probability determination of nonlinear systems under levy white noise

Mario Di Paola, Alberto Di Matteo, Antonina Pirrotta, Christian Bucher, Antonina Pirrotta

Risultato della ricerca: Conference contribution

Abstract

In this paper the problem of the first-passage probabilities determination of nonlinear systems under alpha-stable Lévy white noises is addressed. Based on the properties of alpha-stable random variables and processes, the Path Integral method is extended to deal with nonlinear systems driven by Lévy white noises with a generic value of the stability index alpha. Furthermore, the determination of reliability functions and first-passage time probability density functions is handled step-by-step through a modification of the Path Integral technique. Comparison with pertinent Monte Carlo simulation reveals the excellent accuracy of the proposed method.
Lingua originaleEnglish
Titolo della pubblicazione ospiteUNCECOMP 2015 1st International Conference on Uncertainty Quantification in Computational Sciences and Engineering
Pagine357-367
Numero di pagine11
Stato di pubblicazionePublished - 2015

All Science Journal Classification (ASJC) codes

  • Theoretical Computer Science
  • Computational Theory and Mathematics
  • Computer Science Applications

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