An Improved Closure Method for Analysis of Nonlinear Stochastic Systems

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Abstract

The probability density function (PDF) and the mean up-crossing rate (MCR) of the stationary responses of nonlinear stochastic systems excited by white noise is analyzed based on the assumption that the PDF of the responses is approximated with an exponential function of a polynomial in the state variables. Based upon the approximate PDF, a new technique is developed for the approximate PDF solution of Fokker–Planck–Kolmogorov equation, and consequently, the MCR of the system responses is analyzed. Numerical results showed that the approximate PDFs and MCRs approach to the exact ones as the degree of the polynomial increases.

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