Nonstationary probability densities of a class of nonlinear system excited by external colored noise

This paper deals with the approximate nonstationary probability density of a class of nonlinear vibrating system excited by colored noise. First, the stochastic averaging method is adopted to obtain the averaged Itô equation for the amplitude of the system. The corresponding Fokker-Planck-Kolmogorov equation governing the evolutionary probability density function is deduced. Then, the approximate solution of the Fokker-Planck-Kolmogorov equation is derived by applying the Galerkin method. The solution is expressed as a sum of a series of expansion in terms of a set of proper basis functions with timedepended coefficients. Finally, an example is given to illustrate the proposed procedure. The validity of the proposed method is confirmed by Monte Carlo Simulation.