Numerical Solution of First Passage Problems in Random Vibrations

DOI10.1137/0915059zbMath0802.60053OpenAlexW2078273834MaRDI QIDQ4305422

Hans Petter Langtangen

Publication date: 15 December 1994

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/a7b086acd92c6c5853d15a3f176064ae94167dc2

zbMATH Keywords

boundary value problemsfinite element methodsrandom vibrationsbackward Kolmogorov equationsfirst passage problemssingle degree-of-freedom oscillatorsreliability of dynamic systemswhite-noise-excited, stochastic, ordinary differential equations

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Probabilistic methods, stochastic differential equations (65C99)

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