Abstract
At the state of statistical stationarity, the response of a nonlinear system under multiplicative random excitations can be either trivial or non-trivial, depending on the spectral levels of the excitations and the values of certain system parameters. Assuming that the random excitations are Gaussian white noises, the two types of response may be investigated by way of their stationary densities, which are obtainable for first order dynamical systems and for higher order dynamical systems belonging to the class of generalized stationary potential. Alternatively, the Lyapunov exponents can be computed for perturbation from either the trivial or non-trivial solution, since a negative sign for the greatest Lyapunov exponent provides both the necessary and sufficient conditions for the stability of sample functions with probability one. It is shown in two specific examples, that the boundary at which the greatest Lyapunov exponent changes its sign coincides with the boundary for regularity (or being normalizable) for the probability density in both the trivial and non-trivial solutions. Thus, the stability conditions in the strong sense of probability one and the weak sense in distribution are identical in these cases.
Similar content being viewed by others
References
Caughey, T. K. and Ma, F., ‘The exact steady-state solution of a class of nonlinear stochastic systems’.Int. J. Non-Linear Mechanics 17, 1983, 137–142.
Yong, Y. and Lin, Y. K.: ‘Exact stationary response solution for second order nonlinear systems under parametric and external white noise excitation’.ASME Journal of Applied Mechanics 54, 1987, 414–418.
Lin, Y. K. and Cai, G. Q., ‘Exact stationary response solution for second order nonlinear systems under parametric and external white noise excitations: Part II’,Journal of Applied Mechanics 55, 1988, 702–705.
Stratonovich, R. L., ‘A new representation for stochastic integrals and equations’,J. SIAM Control 4 (2), 1966, 362–371.
Wong, E. and Zakai, M., ‘On the relation between ordinary and stochastic equations’,Int. J. Eng. Sci. 3 (2), 1965, 213–229.
Arnold, L.Stochastic Differential Equations, Wiley, New York, 1974.
Wedig, W., ‘Lyapunov exponents of stochastic systems and related bifurcation problems’, in S. T. Ariaratnam, G. I. Schuëller, and I. Elishakoff (eds.),Stochastic Structural Dynamics, Progress in Theory and Applications, Elsevier Applied Science, London, 1988, 315–327.
Afflerbach, L. and Lehn, J. (eds.),Kolloquium über Zufallszahlen und Simulationen (Darmstadt, 1986). B. G. Teubner, Stuttgart, 1986.
Kloeden, P. E. and Platen, E., ‘A survey of numerical methods for stochastic differential equations’,Stochastic Hydraul 3, 1989, 155–178.
Pardoux, E. and Talay, D., ‘Discretization and simulation of stochastic differential equations’.Acta Appl. Math. 3. 1985, 23–47.
Oseledec, V. I.. ‘A multiplicative ergodic theorem. Lyapunov characteristic numbers for dynamical systems’.Trans. Moscow Math. Soc. 19, 1968, 197–231.
Fürstenberg, Kesten, ‘Products of random matrices’,Ann. Math. Statist. 31, 1960, 457–469.
Lin, Y. K., Kozin, F., Wen, Y. K., Casciati, F., Schuëller, G. I., Der Kiureghian, A., Ditlevsen, O., and Vanmarcke, E. H., Methods of stochastic structural dynamics’.Structural Safety 3, 1986, 167–194.
Khasminskii, R. Z., ‘Necessary and sufficient conditions for asymptotic stability of linear stochastic systems’,Theor. Prob. and Appls. 12, 1967, 144–147.
Wedig, W,Vom Chaos zur Ordnung, GAMM-Mitteilungen, Heft 2, 1989, 3–31.
Wedig, W., ‘Stability and bifurcation in stochastic systems’, in W. Schiehlen and W. Wedig (eds.)Stochastic Systems in Mechanics, Minisymposium 4 of GAMM 89, ZAMM 70, 4/5/6, 1990, T 833.
Wedig, W., ‘Pitchfork and Hopf bifurcations in stochastic systems-effective methods to calculate Lyapunov exponents’, to appear in P. Krée and W. Wedig (eds.),Effective Stochastic Analysis.
Author information
Authors and Affiliations
Rights and permissions
About this article
Cite this article
Wedig, W.V., Lin, Y.K. & Cai, G.Q. Necessary and sufficient conditions for existence of stationary solutions of some nonlinear stochastic systems. Nonlinear Dyn 1, 75–90 (1990). https://doi.org/10.1007/BF01857586
Issue Date:
DOI: https://doi.org/10.1007/BF01857586