Path integral method for first-passage probability determination of nonlinear systems under levy white noise
- Autori: Bucher, C.; Di Matteo, A.; Di Paola, M.; Pirrotta, A.
- Anno di pubblicazione: 2015
- Tipologia: Contributo in atti di convegno pubblicato in volume
- OA Link: http://hdl.handle.net/10447/194670
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.