Search results for " White noise"

Probabilistic characterization of nonlinear systems under Poisson white noise parametric input via complex fractional moments

2014

In this paper the probabilistic characterization of a nonlinear system enforced by parametric Poissonian white noise in terms of complex fractional moments is presented. In fact the initial system driven by a parametric input could be transformed into a system with an external type of excitation through an invertible nonlinear transformation. It is shown that by using Mellin transform theorem and related concepts, the solution of the Kolmogorov-Feller equation for the system with external input may be obtained in a very easy way.

Stochastic response of linear and non-linear systems to α-stable Lévy white noises

2005

Abstract The stochastic response of linear and non-linear systems to external α -stable Levy white noises is investigated. In the literature, a differential equation in the characteristic function (CF) of the response has been recently derived for scalar systems only, within the theory of the so-called fractional Einstein–Smoluchowsky equations (FESEs). Herein, it is shown that the same equation may be built by rules of stochastic differential calculus, previously applied by one of the authors to systems driven by arbitrary delta-correlated processes. In this context, a straightforward formulation for multi-degree-of-freedom (MDOF) systems is also developed. Approximate CF solutions to the …

Stochastic analysis of a non-local fractional viscoelastic beam forced by Gaussian white noise

2017

Recently, a displacement-based non-local beam model has been developed and the relative finite element (FE) formulation with closed-form expressions of the elastic and fractional viscoelastic matrices has also been obtained. The static and quasi-static response has been already investigated. This work investigates the stochastic response of the non-local fractional viscoelastic beam, forced by a Gaussian white noise. In this context, by taking into account the mass of the beam, the system of coupled fractional differential equations ruling the beam motion can be decoupled with the method of the fractional order state variable expansion and statistics of the motion of the beam can be readily…

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

2015

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.

Probabilistic response of nonlinear systems via PI: normal, Poissonian and combined white noises

2009

A novel method based on augmented Markov vector process for the time-variant extreme value distribution of stochastic dynamical systems enforced by P…

2020

Abstract The probability density function (PDF) of the time-variant extreme value process for structural responses is of great importance. Poisson white noise excitation occurs widely in practical engineering problems. The extreme value distribution of the response of systems excited by Poisson white noise processes is still not yet readily available. For this purpose, in the present paper, a novel method based on the augmented Markov vector process for the PDF of the time-variant extreme value process for a Poisson white noise driven dynamical system is proposed. Specifically, the augmented Markov vector (AMV) process is constructed by combining the extreme value process and its underlying…

Non-linear systems under Levy White Noise Handled by path integration method

2009

Aim of this paper is an investigation on the consistency of the Path Integration (PI) method already proposed by Naess & Johansen, 1991,1993 for non-linear systems driven by α-stable white noise. It is shown that in the limit, as τ→0, the Einstein-Smoluchowsky (ES) equation is fully restored. Once the consistency of the PI is demonstrated for the half oscillator, then the extension of the ES equation for MDOF system is found starting from the PI method.

Moment Equations for a Spatially Extended System of Two Competing Species

2005

The dynamics of a spatially extended system of two competing species in the presence of two noise sources is studied. A correlated dichotomous noise acts on the interaction parameter and a multiplicative white noise affects directly the dynamics of the two species. To describe the spatial distribution of the species we use a model based on Lotka-Volterra (LV) equations. By writing them in a mean field form, the corresponding moment equations for the species concentrations are obtained in Gaussian approximation. In this formalism the system dynamics is analyzed for different values of the multiplicative noise intensity. Finally by comparing these results with those obtained by direct simulat…

Nonlinear SDE Excited by External Lévy White Noise Processes

2011

A numerical method for approximating the statistics of the solution of nonlinear stochastic systems excited by Gaussian and non-Gaussian external white noises is proposed. The differential equation governing the evolution in time of the characteristic function is resolved by the convolution quadrature method. This approach is especially suited for those problems in which the nonlinear drift term is not of polynomial form. In such cases the equation governing the evolution in time of the characteristic function is not a partial differential equation. Statistics are found by introducing an integral operator of Wiener-Hopf type, called the transformation operator, and applying the Lubich's con…

Fractional visco-elastic systems under normal white noise

2011

In this paper an original method is presented to compute the stochastic response of singledegree- of-freedom structural systems with viscoelastic fractional damping. The key-idea stems from observing that, based on a few manipulations involving an appropriate change of variable and a discretization of the fractional derivative operator, the equation of motion can be reverted to a coupled linear system involving additional degrees of freedom, the number of which depends on the discretization adopted for the fractional derivative operator. The method applies for fractional damping of arbitrary order a (0 < α < 1). For most common input correlation functions, including a Gaussian white noise, …