Research Article
Jun 1971
Random Walk Model for First-Passage Probability
Publication: Journal of the Engineering Mechanics Division
Volume 97, Issue 3
Abstract
A numerical method is developed for the calculation of first-passage time probability of single degree-of-freedom, linear and nonlinear, dynamic oscillators excited by Gaussian white noise. The random walk model is a difference equation which governs the diffusion of the oscillators response probability in the phase plane and is a discrete analog to the continuous theory Fokker-Planck equation. First-passage is examined by considering the diffusion process when absorbing barriers are superimposed upon the phase plane. Two linear systems are studied for first-passage and compared to results from another numerical approach with good correlation. First-passage is also examined for several nonlinear systems to demonstrate its applicability. It is the study of the latter for which the technique has particular value.
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Information
Published In
Journal of the Engineering Mechanics Division
Volume 97 • Issue 3 • June 1971
Pages: 791 - 807
Copyright
© 1971 American Society of Civil Engineers.
History
Published in print: Jun 1971
Published online: Feb 3, 2021
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Authors
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Richard H. Toland
Sr. Development Engr., Hercules Incorporated/ ABL, Cumberland, Md.
Cheng Y. Yang, M.ASCE
Assoc. Prof. of Civ. Engrg., Univ. of Del., Newark, Del.
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Terms of Use: ASCE Library Cards are for individual, personal use only. Reselling, republishing, or forwarding the materials to libraries or reading rooms is prohibited.