...Sayan Gupta; P. H. A. J. M. van Gelder The problem of approximating the probability distribution of peaks, associated with a special class of non-Gaussian random processes, is considered. The non-Gaussian processes are obtained as nonlinear combinations of a vector of mutually correlated...

... of this approach. This, in turn, requires the estimation of the joint probability density function of the process and its time derivative at the same time instant. This function itself is difficult to determine, especially for non-Gaussian processes, such as the Von...

... of fatigue life using the proposed PDF models. In Sec. 7 , we conclude the paper with some remarks. A common technique for simulating a second order non-Gaussian process X ( t ) is by means of a transformation g ( ∙ ) of a standard Gaussian process U ( t...

... in the linearization model. Finally, the performance of the present linearization model is compared and supported by employing two examples with exact solutions, Monte Carlo simulations, and Gaussian linearization method. Gaussian processes Monte Carlo methods maximum entropy methods stochastic systems...