First passage failure of quasi-partial integrable generalized Hamiltonian systems

Abstract

The first passage failure of quasi-partial integrable generalized Hamiltonian systems is studied by using the stochastic averaging method. First, the stochastic averaging method for quasi-partial integrable generalized Hamiltonian systems is introduced briefly. Then, the backward Kolmogorov equation governing the conditional reliability function and the Pontryagin equation governing the conditional mean of first passage time are derived from the averaged Itô equations. The conditional reliability function, the conditional probability density and mean of the first passage time are obtained from solving these equations together with suitable initial condition and boundary conditions, respectively. Finally, one example is given to illustrate the proposed procedure in detail and the solutions are confirmed by using the results from Monte Carlo simulation of the original system.