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.File in questo prodotto:
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