Asymptotic analysis of first-passage problems

DOI10.1016/S0020-7462(96)00041-8MaRDI QIDQ1369589zbMATH OpenFDO

Authors R. Valéry Roy

Publication date 25 October 1998

Published in International Journal of Non-Linear Mechanics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0020-7462(96)00041-8

zbMATH Keywords

asymptotically stable equilibrium pointbasin of attractionFokker-Planck-Kolmogorov equationLyapunov functionprobability density functiontwo-dimensional Stratonovich stochastic dynamical systemwhite noiseWKB singular perturbation scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random vibrations in mechanics of particles and systems (70L05)

Review text

A two-dimensional Stratonovich stochastic dynamical system with small white noise excitation is examined in a domain inside the basin of attraction of an asymptotically stable equilibrium point of the corresponding deterministic system. A method for finding such a domain by using a Lyapunov function of the deterministic system is discussed. Using the mean first-passage time to the boundary of the domain as indicative of the stability of the stochastic system, a WKB singular perturbation scheme is employed to approximate the solution of the Fokker-Planck-Kolmogorov equation for the probability density function of the solution of the stochastic system, which in turn is used to approximate the mean first passage time. Three examples are given in which the results generated by this method agree closely with simulation results.

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