Search results for "α-stable white noise"

showing 3 items of 3 documents

Non-linear systems under parametric white noise input: digital simulation and response

2005

Abstract Monte Carlo technique is constituted of three steps. Therefore, improving such technique in practice means, improving the procedure used in one of the three following steps: (i) sample paths of the stochastic input process, (ii) calculation of the outputs corresponding to the generated input samples by using methods of classical dynamics and (iii) estimating statistics of the output process from sample outputs related to the previous step. For linear and non-linear systems driven by parametric impulsive inputs such as normal or non-normal white noises, a general integration method requires a considerable reduction of the integration step when the impulse occurs, treating the impuls…

Mathematical optimizationApplied MathematicsMechanical EngineeringMonte Carlo methodα-stable white noiseParametric impulseWhite noiseImpulse (physics)Poissonian white noiseWindow functionα-stable white noise; Normal white noise; Parametric impulse; Poissonian white noiseNonlinear systemMechanics of MaterialsMonte Carlo integrationQuasi-Monte Carlo methodAlgorithmParametric statisticsMathematicsNormal white noise
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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.

Path Integration methodEinstein-Smoluchowsky (ES) equationα-stable white noiseSettore ICAR/08 - Scienza Delle Costruzioni
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Probabilistic characterization of nonlinear systems under α-stable white noise via complex fractional moments

2015

Abstract The probability density function of the response of a nonlinear system under external α -stable Levy white noise is ruled by the so called Fractional Fokker–Planck equation. In such equation the diffusive term is the Riesz fractional derivative of the probability density function of the response. The paper deals with the solution of such equation by using the complex fractional moments. The analysis is performed in terms of probability density for a linear and a non-linear half oscillator forced by Levy white noise with different stability indexes α . Numerical results are reported for a wide range of non-linearity of the mechanical system and stability index of the Levy white nois…

Statistics and ProbabilityFractional Fokker-Planck equationα-stable white noiseMathematical analysisProbabilistic logicStatistical and Nonlinear PhysicsProbability density functionCondensed Matter PhysicWhite noiseComplex fractional momentStability (probability)Fractional calculusMechanical systemNonlinear systemNonlinear systemRange (statistics)Complex fractional moments; Fractional Fokker-Planck equation; Nonlinear systems; α-stable white noise; Condensed Matter Physics; Statistics and ProbabilityMathematicsPhysica A: Statistical Mechanics and its Applications
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