Probabilistic solutions of some multi-degree-of-freedom nonlinear stochastic dynamical systems excited by filtered Gaussian white noise. (English) Zbl 1344.65014
Summary: In this paper, the state-space-split method is extended for the dimension reduction of some high-dimensional Fokker-Planck-Kolmogorov equations or the nonlinear stochastic dynamical systems in high dimensions subject to external excitation which is the filtered Gaussian white noise governed by the second order stochastic differential equation. The selection of sub state variables and then the dimension-reduction procedure for a class of nonlinear stochastic dynamical systems is given when the external excitation is the filtered Gaussian white noise. The stretched Euler-Bernoulli beam with hinge support at two ends, point-spring supports, and excited by uniformly distributed load being filtered Gaussian white noise governed by the second-order stochastic differential equation is analyzed and numerical results are presented. The results obtained with the presented procedure are compared with those obtained with the Monte Carlo simulation and equivalent linearization method to show the effectiveness and advantage of the state-space-split method and exponential polynomial closure method in analyzing the stationary probabilistic solutions of the multi-degree-of-freedom nonlinear stochastic dynamical systems excited by filtered Gaussian white noise.
MSC:
| 65C30 | Numerical solutions to stochastic differential and integral equations |
| 35Q84 | Fokker-Planck equations |
| 35R60 | PDEs with randomness, stochastic partial differential equations |
| 37H10 | Generation, random and stochastic difference and differential equations |
Keywords:
Fokker-Planck-Kolmogorov equation; high dimensions; state-space-split; exponential polynomial closure; nonlinear stochastic dynamical systemReferences:
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