New partial differential equations governing the joint, response–excitation, probability distributions of nonlinear systems, under general stochastic excitation
- 作者：Themistoklis P. Sapsis ; Gerassimos A. Athanassoulis
- 关键词：Stochastic dynamics ; Stochastic differential equations ; Functional Differential equations ; Correlated stochastic excitation ; Generalized Fokker– ; Planck– ; Kolmogorov equation ; Non-Markovian responses ; Characteristic functional ; Kernel density fu
- 刊名：Probabilistic Engineering Mechanics
- 出版年：2008
- 期刊代码：146_02668920
- 类别：et
- 出版时间：April-July 2008
- 卷：23
- 期：2-3
- 页码：289-306
- 文件大小：1517 K
摘要
In the present work the problem of determining the probabilistic structure of the dynamical response of nonlinear systems subjected to general, external, stochastic excitation is considered. The starting point of our approach is a Hopf-type equation, governing the evolution of the joint, response–excitation, characteristic functional. Exploiting this equation, we derive new linear partial differential equations governing the joint, response–excitation, characteristic (or probability density) function, which can be considered as an extension of the well-known Fokker–Planck–Kolmogorov equation to the case of a general, correlated excitation and, thus, non-Markovian response character. These new equations are supplemented by initial conditions and a marginal compatibility condition (with respect to the known probability distribution of the excitation), which is of non-local character. The validity of this new equation is also checked by showing its equivalence with the infinite system of moment equations. The method is applicable to any differential system, in state-space form, exhibiting polynomial nonlinearities. In this paper the method is illustrated through a detailed analysis of a simple, first-order, scalar equation, with a cubic nonlinearity. It is also shown that various versions of Fokker–Planck–Kolmogorov equation, corresponding to the case of independent-increment excitations, can be derived by using the same approach.