Response cumulants of nonlinear systems subject to external and multiplicative excitations

A general framework is presented for deriving the differential equations governing the evolution of the response cumulants of linear and nonlinear dynamical systems subjected to external and multiplicative non-Gaussian delta-correlated processes. Significant simplifications of these equations are given based on using appropriate recursive relationships for joint cumulants involving products of one or more variables. A compact form of the equations for the response cumulants is presented which provides insight into the structure of the cumulant equations for specific types of dynamical systems. The procedure developed can easily be implemented in computer software to derive symbolic cumulant equations and to estimate numerically the response cumulants of systems with power-law nonlinearities using approximate cumulant-neglect closure schemes. Comparison between the equations for cumulants and the equations for moments are also presented, with particular emphasis on the advantages and disadvantages of each formulation. Suggestions are given regarding the choice to use cumulant or moment equations for analysing the stochastic response of dynamical systems. The preferred formulation is shown to depend on the type of system analysed (linear or nonlinear), the type of system nonlinearity (polynomial or non-polynomial), and the type of excitation (external or multiplicative, delta-correlated or filtered).

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