First Excursion Probabilities for Low Threshold Levels by Differentiable Processes

  • C. Lange
Part of the Lecture Notes in Engineering book series (LNENG, volume 76)


A general method for the calculation of first excursion probabilities of stochastic processes, vector processes or fields is presented with particular reference to applications to reliability problems in mechanics. Based on a discrete random variable representation of excursion events different approximations of first excursion probabilities are studied. A Gram-Charlierseries expansion for the case of low levels as well as results about convergence are derived. Some examples illustrate the results.


Gaussian Process Cooling Tower High Order Moment Factorial Moment Vector Process 
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© International Federation for Information Processing, Geneva, Switzerland 1992

Authors and Affiliations

  • C. Lange
    • 1
  1. 1.Institut für MechanikChemnitzGermany

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