Petrov-Galerkin finite element solution for the first passage probability and moments of first passage time of the randomly accelerated free particle

DOI10.1016/0045-7825(81)90137-7MaRDI QIDQ1156544zbMATHOpenAlexFDO

Authors Lawrence Bergman, Juan C. Heinrich

Publication date 1981

Published in Computer Methods in Applied Mechanics and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0045-7825(81)90137-7

zbMATH Keywords

Petrov-Galerkin finite element methodprobability of failureGaussian white noise excitationaccelerated free particlePontriagin-Vitt equationstationary Gaussian white noise excitation

Mathematics Subject Classification ID

Reliability and life testing (62N05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Brownian motion (60J65) Finite element methods applied to problems in solid mechanics (74S05) Random vibrations in dynamical problems in solid mechanics (74H50) Dynamics of a system of particles, including celestial mechanics (70F99)

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• First-crossing probabilities of the linear oscillator
• Frontal solution program for unsymmetric matrices
• Maximum-entropy distributions having prescribed first and second moments (Corresp.)
• Numerical Analysis of an Elliptic-Parabolic Partial Differential Equation
• Numerical Solution of the Dirichlet Problem for Elliptic Parabolic Equations
• Quadratic finite element schemes for two-dimensional convective-transport problems
• Solution of the Pontriagin-Vitt equation for the moments of time to first passage of the randomly accelerated particle by the finite element method
• The Exit Problem for Randomly Perturbed Dynamical Systems

Cited in

(1)

• A recursive integration method for approximate solution of stochastic differential equations

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