6533b82ffe1ef96bd1295c66
RESEARCH PRODUCT
Path integral method for first-passage probability determination of nonlinear systems under levy white noise
Antonina PirrottaMario Di PaolaAlberto Di MatteoChristian Buchersubject
Nonlinear systemPath integral formulationCalculusNonlinear systemApplied mathematicsWhite noiseLevy white noiseSettore ICAR/08 - Scienza Delle CostruzioniFirst-passageMathematicsPath Integral methoddescription
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.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2015-01-01 |