On Statistics of First-Passage Failure

Abstract

The event in which the response of a randomly excited dynamical system passes, for the first time, a critical magnitude z c is investigated. When the response variable in question can be modeled as a one-dimensional diffusion process, defined on [z l , z c ], the statistical moment of the first passage time of an arbitrary order is governed by the classical Pontryagin equation, subject to suitable boundary conditions. It is shown that, when a boundary is singular, it must be either an entrance, a regular boundary, or a repulsive natural boundary in order that a solution for the Pontryagin equation is physically meaningful. Boundary conditions are obtained for three types of singular boundaries and applied to the second-order oscillators in which the amplitude or energy process can be approximated as a Markov process. Illustrative examples are given of linear and nonlinear oscillators under additive and/or multiplicative random excitations.