The Problem of Stochastic Exit

The Problem of Stochastic Exit

Singular perturbation techniques are applied to the problem of stochastic exit against a flow for dynamical systems subject to small Gaussian white noise excitation. Examples of such systems are simulated numerically and the simulated results are compared with predicted results.

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Veröffentlicht in:SIAM journal on applied mathematics 1981-04, Vol.40 (2), p.208-223
1. Verfasser: Williams, Randall G.
Format: Artikel
Sprache:eng
Schlagworte:
Boundary layers
Boundary value problems
Determinism
Dynamical systems
Harmonic oscillators
Limit cycles
Noise
Pendulums
Probability distribution
Probability distributions
Trajectories
White noise
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Beschreibung
Zusammenfassung:Singular perturbation techniques are applied to the problem of stochastic exit against a flow for dynamical systems subject to small Gaussian white noise excitation. Examples of such systems are simulated numerically and the simulated results are compared with predicted results.
ISSN:0036-1399
1095-712X
DOI:10.1137/0140018