Numerical Solution of the Four-Dimensional Nonstationary Fokker-Planck Equation
The response of mechanical and structural systems subjected to environmental loads is often determined through the use of random vibration methods. Many of these loads can be effectively modeled as random processes, and more specifically as Gaussian white noise or filtered Gaussian white noise excitations. This choice of excitation model infers that the response of the system will be Markovian and, thus, expressible in terms of its transition probability density function, which satisfies both the forward (Fokker-Planck) and backward Kolmogorov equations.
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