Random Walk Model for First-Passage Probability

Abstract

A numerical method is developed for the calculation of first-passage time probability of single degree-of-freedom, linear and nonlinear, dynamic oscillators excited by Gaussian white noise. The random walk model is a difference equation which governs the diffusion of the oscillators response probability in the phase plane and is a discrete analog to the continuous theory Fokker-Planck equation. First-passage is examined by considering the diffusion process when absorbing barriers are superimposed upon the phase plane. Two linear systems are studied for first-passage and compared to results from another numerical approach with good correlation. First-passage is also examined for several nonlinear systems to demonstrate its applicability. It is the study of the latter for which the technique has particular value.