A stochastic averaging method for quasi-integrable and resonant Hamiltonian systems subject to combined Gaussian and Poisson white noise excitations is proposed. The case of resonance with α resonant relations is considered. An (n + α)-dimensional averaged Generalized Fokker–Plank–Kolmogorov (GFPK) equation for the transition probability density of n action variables and α combinations of phase angles is derived from the stochastic integrodifferential equations (SIDEs) of original quasi-integrable and resonant Hamiltonian systems by using the jump-diffusion chain rule. The reduced GFPK equation is solved by using finite difference method and the successive over relaxation method to obtain the stationary probability density of the system. An example of two nonlinearly damped oscillators under combined Gaussian and Poisson white noise excitations is given to illustrate the proposed method. The good agreement between the analytical results and those from digital simulation shows the validity of the proposed method.

References

1.
Hanson
,
F. B.
,
2007
,
Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis, and Computation
,
SIAM
,
Philadelphia, PA
.
2.
Øksendal
,
B.
, and
Sulem
,
A.
,
2005
,
Applied Stochastic Control of Jump Diffusions
,
Springer-Verlag
,
Berlin
.
3.
Wojtkiewicz
,
S. F.
,
Johnson
,
E. A.
,
Bergman
,
L. A.
,
Grigoriu
,
M.
, and
Spencer
,
B. F.
,
1999
, “
Response of Stochastic Dynamical Systems Driven by Additive Gaussian and Poisson White Noise: Solution of a Forward Generalized Kolmogorov Equation by a Spectral Finite Difference Method
,”
Comput. Methods Appl. Mech. Eng.
,
168
(
1–4
), pp.
73
89
.10.1016/S0045-7825(98)00098-X
4.
Zhu
,
H. T.
,
Er
,
G. K.
,
Iu
,
V. P.
, and
Kou
,
K. P.
,
2011
, “
Probabilistic Solution of Nonlinear Oscillators Excited by Combined Gaussian and Poisson White Noises
,”
J. Sound Vib.
,
330
(
12
), pp.
2900
2909
.10.1016/j.jsv.2011.01.005
5.
Jia
,
W.
,
Zhu
,
W.
, and
Xu
,
Y.
,
2013
, “
Stochastic Averaging of Quasi-Non-Integrable Hamiltonian Systems Under Combined Gaussian and Poisson White Noise Excitations
,”
Int. J. Nonlinear Mech.
,
51
(
0
), pp.
45
53
.10.1016/j.ijnonlinmec.2012.12.003
6.
Liu
,
W.-Y.
,
Zhu
,
W.-Q.
, and
Xu
,
W.
,
2013
, “
Stochastic Stability of Quasi Non-Integrable Hamiltonian Systems Under Parametric Excitations of Gaussian and Poisson White Noises
,”
Probab. Eng. Mech.
,
32
, pp.
39
47
.10.1016/j.probengmech.2012.12.009
7.
Stratonovich
,
R.
,
1963
,
Topics in the Theory of Random Noise
,
Gordon and Breach
,
New York
.
8.
Khasminskii
,
R.
,
1966
, “
On Stochastic Processes Defined by Differential Equations With a Small Parameter
,”
Theor. Probab. Appl.
,
11
(
2
), pp.
211
228
.10.1137/1111018
9.
Khasminskii
,
R.
,
1966
, “
A Limit Theorem for the Solutions of Differential Equations With Random Right-Hand Sides
,”
Theor. Probab. Appl.
,
11
(
3
), pp.
390
406
.10.1137/1111038
10.
Roberts
,
J.
, and
Spanos
,
P.
,
1986
, “
Stochastic Averaging: An Approximate Method of Solving Random Vibration Problems
,”
Int. J. Nonlinear Mech.
,
21
(
2
), pp.
111
134
.10.1016/0020-7462(86)90025-9
11.
Zhu
,
W. Q.
,
1988
, “
Stochastic Averaging Methods in Random Vibration
,”
ASME Appl. Mech. Rev.
,
41
(
5
), pp.
189
199
.10.1115/1.3151891
12.
Zhu
,
W. Q.
,
1996
, “
Recent Developments and Applications of the Stochastic Averaging Method in Random Vibration
,”
ASME Appl. Mech. Rev.
,
49
(
10S
), pp.
S72
S80
.10.1115/1.3101980
13.
Zhu
,
W.
,
2006
, “
Nonlinear Stochastic Dynamics and Control in Hamiltonian Formulation
,”
ASME Appl. Mech. Rev.
,
59
, pp.
230
248
.10.1115/1.2193137
14.
Huang
,
Z.
, and
Zhu
,
W.
,
2004
, “
Stochastic Averaging of Quasi-Integrable Hamiltonian Systems Under Bounded Noise Excitations
,”
Probab. Eng. Mech.
,
19
(
3
), pp.
219
228
.10.1016/j.probengmech.2004.02.005
15.
Huang
,
Z.
, and
Zhu
,
W.
,
2004
, “
Stochastic Averaging of Quasi-Integrable Hamiltonian Systems Under Combined Harmonic and White Noise Excitations
,”
Int. J. Nonlinear Mech.
,
39
(
9
), pp.
1421
1434
.10.1016/j.ijnonlinmec.2004.02.004
16.
Huang
,
Z.
, and
Zhu
,
W.
,
2005
, “
Averaging Method for Quasi-Integrable Hamiltonian Systems
,”
J. Sound Vib.
,
284
(
1
), pp.
325
341
.10.1016/j.jsv.2004.06.033
17.
Zhu
,
W.
,
Huang
,
Z.
, and
Yang
,
Y.
,
1997
, “
Stochastic Averaging of Quasi-Integrable Hamiltonian Systems
,”
ASME J. Appl. Mech.
,
64
(
4
), pp.
975
984
.10.1115/1.2789009
18.
Di Paola
,
M.
, and
Falsone
,
G.
,
1993
, “
Itô and Stratonovich Integrals for Delta-Correlated Processes
,”
Probab. Eng. Mech.
,
8
(
3
), pp.
197
208
.10.1016/0266-8920(93)90015-N
19.
Lin
,
Y. K.
,
Ingenieur
,
C.
,
Lin
,
Y. K. M.
,
Engineer
,
C.
, and
Lin
,
Y. K. M.
,
1967
,
Probabilistic Theory of Structural Dynamics
,
McGraw-Hill
,
New York
.
20.
Di Paola
,
M.
, and
Vasta
,
M.
,
1997
, “
Stochastic Integro-Differential and Differential Equations of Non-Linear Systems Excited by Parametric Poisson Pulses
,”
Int. J. Nonlinear Mech.
,
32
(
5
), pp.
855
862
.10.1016/S0020-7462(96)00081-9
21.
Zhu
,
W.
, and
Yang
,
Y.
,
1997
, “
Stochastic Averaging of Quasi-Nonintegrable-Hamiltonian Systems
,”
ASME J. Appl. Mech.
,
64
(
1
), pp.
157
164
.10.1115/1.2787267
22.
Di Paola
,
M.
, and
Falsone
,
G.
,
1993
, “
Stochastic Dynamics of Nonlinear-Systems Driven by Non-Normal Delta-Correlated Processes
,”
ASME J. Appl. Mech.
,
60
(
1
), pp.
141
148
.10.1115/1.2900736
23.
Khasminskii
,
R.
,
1968
, “
On the Averaging Principle for Stochastic Differential Itô Equation
,”
Kibernetika
,
4
, pp.
260
279
(in Russian).
24.
Xu
,
Y.
,
Duan
,
J.
, and
Xu
,
W.
,
2011
, “
An Averaging Principle for Stochastic Dynamical Systems With Lévy Noise
,”
Phys. D
,
240
(
17
), pp.
1395
1401
.10.1016/j.physd.2011.06.001
25.
Gan
,
C.
, and
Zhu
,
W.
,
2001
, “
First-Passage Failure of Quasi-Non-Integrable-Hamiltonian Systems
,”
Int. J. Nonlinear Mech.
,
36
(
2
), pp.
209
220
.10.1016/S0020-7462(00)00006-8
26.
Wu
,
Y. J.
, and
Zhu
,
W. Q.
,
2008
, “
Stochastic Averaging of Strongly Nonlinear Oscillators Under Combined Harmonic and Wide-Band Noise Excitations
,”
ASME J. Vib. Acoust.
,
130
(
5
), p.
051004
.10.1115/1.2948382
You do not currently have access to this content.