The first-time passage problem for a Fokker-Planck Markov process is considered. Both the differential approach of solution and the integral one are reviewed, but the latter is followed in the applications. These regard the Ornstein-Uhlenbeck process and the envelope of the response of an oscillator with nonlinear stiffness.

Numerics for the first-passage time of a Markov process

FLORIS, CLAUDIO
2013-01-01

Abstract

The first-time passage problem for a Fokker-Planck Markov process is considered. Both the differential approach of solution and the integral one are reviewed, but the latter is followed in the applications. These regard the Ornstein-Uhlenbeck process and the envelope of the response of an oscillator with nonlinear stiffness.
Atti XXI Convegno AIMETA
9788882391836
Scalar Markov processes; Fokker-Planck equation; first passage time statistics
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11311/766130
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