阻尼随机系统中的首次穿越

First-passage Time of Damped Stochastic System

本文用哈密顿系统随机平均方法,研究了阻尼系统在高斯白噪声激励下的首通时间问题。给出了系统运动方程的随机平均微分方程以及首次穿越时间条件矩的Pontragin方程,得到了平均首通时间与噪声强度的关系。

We investigate the first-passage problem of coupled nonilear system subject to Gaussian white noise excitation by using the stochastic average method. The motion equations are reduced to averaged stochastic differential equations, and the Pontragin equation governir/g the conditional moments of first-passage time are established. The relation between first-passage time and noise intensity are analyed.