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.
|Titolo della pubblicazione ospite||UNCECOMP 2015 1st International Conference on Uncertainty Quantification in Computational Sciences and Engineering|
|Numero di pagine||11|
|Stato di pubblicazione||Published - 2015|
All Science Journal Classification (ASJC) codes
- Theoretical Computer Science
- Computational Theory and Mathematics
- Computer Science Applications