1 INTRODUCTION

Evaluation of the extreme values is a central topic

in the reliability analysis of structures subjected to
wind or ocean waves, earthquake loads. Failure in
randomly vibrating structures is related to the largest
value of the dynamic response or to fatigue behav-
ior. The exact distribution function of the maximum
response modeled as a nonstationary stochastic pro-
cess X(t) remains an open problem, interesting both
from the point of view of the mathematical theory
and the engineering applications. Several approxi-
mation methods can be found in the literature. The
main formulations start from using celebrated Rices
formula for calculating the expected rate of crossing
of a fixed barrier for one-parameter Gaussian sta-
tionary processes. S.O. Rice (1944) studied the
properties of electrical noise signals by means of the
crossing spectrum or crossing intensity which can be
computed when the joint density of signal X(t) and
its derivativ is known. In the 1950's and 60's Rice's
formula was applied to physical oceanography in
the series of papers by M.S. Longuett-Higgins and
collaborators on the statistical properties of ocean
waves. Later on mathematicians K. Ito(1964), D.
Ylvisaker (1965), Y. Belayev (1966, 1972), H.
Cramer & M.R. Leadbetter(1965, 1967), R.N. Mi-
roshin(1974), V.I. Piterbarg(1996), J.M. Azais & M.
Wschebor(2001), R.J. Adler(1981, 2010) deduced
different variants of Rice formulas extended to
more general classes of differentiable (in some suit-
able sense) stationary processes, covering not only
the first moments but also higher order factorial
moments of the numbers of crossing, and even to
more general settings for continuous random proc-
esses and fields. Kratz(2006) made a large inventory
of papers and books dealing with the subject of
level crossings.
In probabilistic engineering mechanics the com-
plementary character of the extreme value and the
random time to the first passage of the response
through a fixed level have been analyzed. The sim-
plest method for approximating the expected up-
crossing rate involves Poisson crossing times for
X(t), in which out-crossings of the considered proc-
esses are assumed to be independent and constitute a
Poisson process. This approximation is conservative
for all but small values of u, and is asymptotically
correct for a Gaussian process as u becomes very
large. A.G. Davenport(1964) derived a closed-form
formula for estimating the distribution of extreme
wind-excited structural response. E. Van Marcke
(1975) proposed a commonly used improved for-
mula, accounting for the dependence between the
crossing events and the time that the process spends
above the barrier. Another improvements are Lutes
approximation, the integral equation method, Lang-
leys approximation, and the bounds method. Out-
crossings approaches have been also extended to
non-linear systems, non-Gaussian systems and
multi-component systems. Chen & Li(2007) used
equivalent random events and an equivalent stochas-
tic process in order to evaluate the distribution func-
tion of the extreme value of nonstationary proc-
esses. A detailed discussion on different engineering
approaches was elaborated by Lutes & Sar-
kani(2009). But the probability distribution of the
random number of crossings remains unknown.
Rice formula are the only general tool to gets results
on the moments of number of crossings. In this pa-
per the distribution function of the global maxi-
mum is expressed starting from the mathematical
Prediction of the global maximum of the seismic nonstationary response
via Rice formula
A.I. Daniliuc
I.S.C. Bucharest, Romania & Romanian Association for Earthquake Engineering
daniliuc.a@gmail.com

PAPER INCLUDED IN THE PROCEEDINGS OF THE 11
TH
INTERNATIONAL
CONFERENCE ON STRUCTURAL SAFETY & RELIABILITY ICOSSAR 2013, COLUMBIA
UNIVERSITY, NEW YORK, JUNE 16-20, 2013.

ABSTRACT: For nonstationary stochastic processes a formula for the joint density function of the location
and magnitude of the global maximum is introduced. This formula is derived starting from Rice formula for
expected number of local maxima. The computation of distribution function of the global maximum is dis-
cussed and some applications in earthquake engineering are given.
relationships obtained for the intensity of local
maxima.
2 LEVEL CROSSINGS
Let T denote the time duration and consider
( ) | | { }
0 X t , t ,T X = e to be a real- valued stochastic
process with continuous sample paths. ( ) X t and its
derivatives are zero mean processes. A sample path
of ( ) X t admits a crossing of the level u, at the point
t if for all vicinities of t one may find two points
1 2
t ,t so that ( ) ( ) ( ) ( )
1 2
0 X t u X t u < . One as-
sumes ( ) X t and its first and second derivatives
( ) X t

and ( ) X t

posses continuous one dimensional

distributions, such that the mean number of cross-
ings of any level by ( ) X t and the zero level by
( ) X t

are finite. The following notations are used:

( ) ( ) { }
u
M I # t I , X t u = e = is the number of the so-
lutions of the equation ( ) X t u = for | | 0 t I ,T e c .
- The number of crossings of the level u by the
stochastic process ( ) X t on the compact interval I
is denoted ( ) ( ) ( ) { }
0
u
N I # t I , X t u, X t = e = =

.
- ( ) ( ) ( ) { }
0
u
U I # t I , X t u, X t = e = >

is the number
of up-crossings of the level u by the stochastic proc-
ess X(t) on the interval I.
- ( ) | | { }
m
X sup X t :t 0,T = e the global maximum
of X(t) on the interval | | 0,T .
One may have two situations when t is the solution
of equation ( ) X t u = :
- u is a local maximum attained at point t;
- the sample path of ( ) X t admits a crossing at t.

It is evidently
u u
M N > for the same compact inter-
val. However the number
u
N and
u
M are almost
surely equally(see Azais & Wschebor 2009, Mer-
cadier 2005 ). The event (
u u
M N = ) will happen
with probability one. The event to find a u-level lo-
cal maximum will almost never to obtain. But the-
oretically it is possible to occur a local maximum
equal to u. The event ( )
m
X u > is the disjoint union
of the events ( ) ( )
0 X u > and ( ) ( )
0
m
X u, X u s > .
In the literature(see Mercadier 2005 ) the second
event is included in a bigger one for which the
computation of the probability is simpler
( ) ( ) ( ) 0 1
m u
X u, X u M s > c > . One needs at least
one crossing of the level u with positive or zero
slope in order to realize the event
( ) ( )
0
m
X u, X u s > . Further one replaces the event
( ) 1
u
M > by the event | | ( ) ( )
0 1
u
U ,T > which means
the existence of an upcrossing by X(t) of the level u
in| | 0,T . The probability function of the random var-
iable
m
X is written as( see Azais & Wschebor
2009):
( ) ( ) ( ) ( )
0 0 1
m u
P X u P( X u ) P X u, U > = > + s > . ( 1)

3 LOCAL MAXIMA
For a twice differentiable stochastic process ( ) X t
the conditions ( ) X t 0 =

and ( ) X t 0 s

implies the
occurrence of a local maximum(peak) ( )
p
X t . Let
( )
pT
p p1 p2 pN
T ,T ,....,T T = be the
pT
N -dimensional
random vector of random times of local maxima
and let
( )
pT
p p1 p2 pN
X , X ,...., X X = be the
pT
N -
dimensional random vector of random peaks. Here
one has
( )
pi pi
X X T = . The number of local
maxima of the process X(t) during the small interval
( ) t , t dt + is denoted as ( ) ( )
p
N t ,t dt + . If X(t) is a
smooth process and dt is an infinitesimal duration
it may be noted that there can be one or zero peaks
in the time interval ( ) t , t dt + and there cannot be
more than one peak. The expected number of peaks
is equally to the probability to occur one peak within
the interval ( ) t , t dt + and it is given by a variant
of Rice formula
( ) ( ) ( ) ( ) ( )
( ) ( ) ( )
( )
p p
p
0
XXX
E N t ,t dt 0 P N t ,t dt 0
1 P N t ,t dt 1
dt dx x f x,0, x;t dx
+

( + = + = +

+ = =
} }


(2 )
where inside the integral the vertical bars denote
modulus and ( )
XXX
f x,0, x;t

denotes the joint prob-
ability density function of X(t) and its time deriva-
tives ( ) ( ) X t , X t

. For simplicity the second integral
will be denoted ( ) ( )
0
XXX
x f x,0, x;t dx f x,t

=
}

.
Another expression for ( ) f x,t is obtained by using
conditional mean of the second derivative
( ) ( ) ( ) ( ) ( )
XX
f x,t E X t X t x, X t 0 f x,0

(
= = =



. ( 3)
where one has
( )
( ) ( )
( )
X t if X t 0
X t
0 if X t 0

s

=
`
>

)

The probability to have a local maximum between
( ) x, x dx + in the interval ( ) t , t dt + is
( ) ( ) ( ) ( )
p p
P X x, x dx ,T t ,t dt f x,t dx dt e + e + = .
The expected number of maxima of any level, dur-
ing the whole interval ( ) 0,T , was derived as
( ) ( ) ( )
T
pT p
0
E N E N 0,T dt f x,t dx
+

( ( = =
} }
(4 )
The conditional probability to have a local max-
imum
( )
p p
X T between ( ) x, x dx + conditioned on
occurring within the interval ( ) t , t dt + can be writ-
ten as
( )
( )
( )
( )
p p.
P x X x dx T 0,t dt
f x,t dx dt
dt f s,t ds
+

s s + e +
=
}
(5 )
The conditional density function of the local maxi-
mum
( )
p p.
X T given the existence of a peak a that
time t follows as
( )
( )
( )
p
X p.
f x,t
f x;t T t
f s,t ds
+

= =
}
( 6)
a known formula from the literature(see Lutes &
Sarkani 2009, Benaroya & Han 2005). The condi-
tional cumulative distribution function of the local
maximum may be expressed as
( )
( )
( )
p
x
X p.
f s,t ds
F x;t T t
f s,t ds

= =
}
}
. (7 )

( )
p p.
X T is not a continuously parametered proc-
ess. It is possible to find a peak at any t value but
there exists sample path of X(t) where one may not
occur a peak in the vicinity of a particular t.
4 GLOBAL MAXIMUM
Let ( ) | | { }
m
X sup X t :t 0,T = e be the global maxi-
mum of the stochastic process X(t). In an authors
own paper Daniliuc(2009), in order to take into ac-
count the nonstationarity of the structural response,
both the location and the magnitude of the global
maximum have been analyzed. Denote the location
of global maximum ( ) { }
m m
T inf t : X t X = = . The
joint density of location and height of the global
maximum was studied for the first time in the papers
by Rychlik & Sjo (2002). They derived the joint
distribution of
m
X and
m
T as the limit distribution of
a family of random variables. For a real-valued sto-
chastic process X(t), | | t 0,T e , the location of the
global maximum can be of two types : at the end-
points of the time interval i.e. { }
m
T 0,T = and in the
interior of the interval ( )
m
T 0,T = . Further one pre-
sumes X(t) has a unique maximum ( )
m m
X X T = on
| | 0,T at the random time moment
m
t T = and
m
T is
interior to | | 0,T . In this case the global maximum
m
X is also a local maximum i.e. ( )
m
X T 0 =

and
( )
m
X T 0 s

and
m
T is the time instant of maximum
peak
mp
T . The joint density ( )
m m
X T
f x,t of the ran-
dom variables
m
T and
m
X will give the joint prob-
ability function
( | ( ) ( )
( )
m m
m m
t x
X T
0
P X , x ;T 0,t
f s, ds d t t

e e =
} }
( 8)
The main idea of the present approach is to express
( )
m m
X T
f x,t starting from the mathematical rela-
tionships obtained for the intensity of local maxima.
4.1 Location of maximum
Similarly to Eq. (2) one can derive the expected
number of times when the global maximum occurs
in the infinitesimal interval ( ) t , t dt +
( ) ( ) ( ) ( ) ( )
( ) ( ) ( )
m m
m
E N t ,t dt 0 P N t ,t dt 0
1 P N t ,t dt 1
( + = + = +

+ =
(9)
The expected number of times the global maxi-
mum occurs in the interval (t, t+ dt) is equally to the
probability to occur the global maximum within the
interval (t, t+ dt). Since it is sure
( ) ( ) ( ) ( )
m p
E N t ,t dt E N t ,t dt ( ( + s +

(10)
it follows
( ) ( ) ( ) ( )
m p
P N t ,t dt 1 P N t ,t dt 1 ( ( + = s + =

. (11)
If both probabilities are continuous with respect
to t then there exists a deterministic function
( ) 0 p t 1 s s so that
( ) ( ) ( ) ( ) ( )
m p
P N t ,t dt 1 p t P N t ,t dt 1 ( ( + = = + =

(12 )
where ( )
( ) ( )
( ) ( )
m
p
E N t ,t dt
p t
E N t ,t dt
( +

=
( +


if ( ) ( )
p
E N t ,t dt 0 ( + >

.
The probability of occurring a peak and the glob-
al maximum within the interval ( ) t , t dt + may be
written
( ) ( ) ( ) ( ) ( )
( ) ( ) ( ) ( )
( )
( ) ( ) ( )
p m
m p
p
P N t ,t dt 1, N t ,t dt 1
P N t ,t dt 1 N t ,t dt 1
P N t ,t dt 1 .
+ = + = =
+ = + =
+ =
( 13)
One takes into account that
( ) ( ) ( ) ( ) ( )
( ) ( ) ( )
p m
m
P N t ,t dt 1, N t ,t dt 1
P N t ,t dt 1
+ = + = =
+ =
(14 )
and by applying the formula of conditional density
function ( ) ( ) ( )
1 2 1 2 2 1 2 1 1
p t ,t dt dt p t t dt p t dt = for
1 2
t t t = = one obtains
( ) ( ) ( )
1 2 2 1
m
T
f t dt dt p t dt f x,t dx dt .
+

=
}
(15 )
The product ( )
1
p t dt is equal to the conditional
probability of occurring the global maximum within
the interval ( ) t , t dt + given a peak in the same in-
terval
( )
( )
( )
( ) ( ) ( ) ( ) ( )
( ) ( ) ( )
( ) ( ) ( ) ( )
( )
m
T 1 2
1
2
p 2 m 1
p 2
m 1 p 2
f t dt dt
p t dt
dt f x,t dx
P N t ,t dt 1, N t ,t dt 1
P N t ,t dt 1
P N t ,t dt 1 N t ,t dt 1 .
+

= =
+ = + =
=
+ =
+ = + =
}
( 16)
5 JOINT DISTRIBUTION OF HEIGHT AND
LOCATION OF GLOBAL MAXIMUM
The event ( ) ( ) ( )
m m
T t ,t dt , X x, x dx e + e + is
equivalent to the intersection of the events denoted
( ) ( ) ( ) ( )
( )
( ) ( )
( ) ( )
p. p
p. pi mp
T t ,t dt X T x, x dx
X T X ; i 1,2,...,n A T t ,t dt
e + e +
> = = e +

where A denotes the intersection of the first two
events,
p.
T may be one of the times of local max-
ima
pi
T and
mp
T is the time instant of maximum
peak. The following events are equivalent
( ) ( )
( ) ( )
p. pi mp
X T X ; i 1,2,...,n T t ,t dt > = = e + (17)
The probability of finding the global maximum in
the infinitesimal interval ( ) t , t dt + lying in the
range ( ) x, x dx + can be written as product of a con-
ditional probability and a known probability
( ) ( ) ( )
( ) ( ) ( )
( )
m m
mp
P T t ,t dt , X x, x dx
P T t ,t dt A P A .
e + e + =
e +
(18)
The event of finding the global maximum of the
process ( ) X t between ( ) x, x dx + in the infinitesimal
time interval ( ) t , t dt + is a coincidence of four joint
events i.e.: 1) ( ) X t lies within | | x, x dx + in time
( ) t , t dt + ; 2) the second derivative ( ) X t

lies within
| | x, x dx + in time ( ) t , t dt + and ( ) X t

must be
negative; 3) the first derivative ( ) X t

executes a ze-
ro-down-crossing within ( ) t , t dt + ; 4)
( )
mp
T t ,t dt e + . If ( )
mp
XXXT
f x, x, x,t

denotes the
joint density function of the random variables ( ) X t ,
( ) X t

, ( ) X t

and
mp
T then
( ) ( ) ( )
( )
mp
m m
0
XXXT
P T t ,t dt , X x, x dx
dt dx x f x,0, x,t dx

e + e + =
}


(18)
The joint density function can be written as
( ) ( ) ( )
mp
XXXT XXX
f x,0, x,t x,t f x,0, x;t o =

(19)
where
( ) ( )
mp
T XXX
x,t f t A o =

(20)
denotes the conditional density function of the ran-
dom variable
mp
T given the event A. The random var-
iable
mp
T does not depend punctually on ( ) X t

that
must be negative. The integral in (18) becomes
( ) ( )
( )
mp mp
0
XXXT T XXX
0
XXX
x f x,0, x,t dx f t A
x f x,0, x;t dx

=
}
}




(21)
From Eq. (18) and (20) it follows
( ) ( ) ( )
( ) ( )
m m
P T t ,t dt , X x, x dx
x,t f x,t dx dt o
e + e + =
(22)
where ( ) 0 x,t 1 o s s .
The cumulative distribution results in the form
( ) ( ) ( )
m m
t x
X T
0
F x,t x,t f x,t dx dt. o

=
} }
( 23)
6 NONSTATIONARY GAUSSIAN PROCESSES
In this paragraph one consider X(t) and its time de-
rivatives ( ) ( ) X t , X t

to be zero-mean Gaussian
processes. The three-dimensional joint density func-
tion of X(t) and its time derivatives, denoted
( )
XXX
f x, x, x;t

is based on the covariance matrix:
2 2 2
2 2 2
2 2 2
X
XX XX
XX X XX
XX XX X
o o o
o o o
o o o
(
(
( E =
(
(




(24)
in which al the cross variances are functions of
time. The determinant of the covariance matrix is
2 2 2 2 2 2 2
2 2 2 2 2
2
X X
X X XX X XX
X XX XX XX XX
o o o o o o o
o o o o o
E =
+


( 25 )
The following notations was used by Farahmand
& Hannigan (2001)

2 2 2
2
X X XX
a
o o o
=
E


2 2 2 2
XX XX X XX
b
o o o o
=
E

(26 )
2 2 2
1 2
2
X
X XX
c d
o o o

= = E
E


and the joint density function is deduced as
( )
( )
( )
XXX
3 2
2 2
f x,0, x;t
2 d exp ax bxx cx . t

=




( 27)
The function ( ) f x,t in ( 23) is derived

( ) ( )
( )
( )
0
XXX
0
3 2
2 2
f x,t x f x,0, x;t dx
2 x d exp ax bxx cx dx t

= =

}
}



(28)

After integration one obtains

( )
( )
( )
( )
( )
0
2 2
3 2
3 2
2
2
3 2
1
f x,t xd exp ax bxx cx dx
2
2 d exp ax
1 bx bx
bx exp 1 erf
2c 2 c 2 c 4c
t
t
t

= =

( | |
| | | | | |
( | + +
| | |
|
(
\ . \ . \ .
\ .
}

(29)
where the error function is given as
2
bx
2 c
s
0
bx 2
erf e ds
2 c t

| |
=
|
\ .
}
( 30)
and all the coefficients a, b, c, d are functions of
time. The expected number of maxima below the
level u was derived by Farahmand & Hanni-
gan(2001) starting from Eq. (4)
( )
T
u
pT
0
1 2
T
2 2 2
0
E N v 2au dt
b b aeu
v u exp dt
4ac 2c c
(
= u

| |
| | | |
|
u
| |
| |
|
\ . \ .
\ .
}
}
( 31)
where ( ) . u is the standard normal distribution func-
tion,
( )
1
v d 2e 2a 2t

= and
2
4 e c b a = . The
expected number of local maxima of any value dur-
ing the interval | | 0,T is given by Eq. (31) for u =
( )
T
pT
0
E N v t dt ( =
}
. (32 )
7 CONDITIONAL DENSITY APPROXIMATION
Falk et al. (2004), Adler & Taylor( 2007) empha-
sized that the supremum of a stochastic process is
most likely to occur in or near the time region of
maximal variance. In fact a heuristic density func-
tion of the time of global maximum should be pro-
portional to the mean value of the modulus of X(t).
The estimation of the critical conditional density
functions p(t) and ( ) x,t o is more heuristic than rig-
orous. In this Section the principle of counting to
solve probability problems will be replaced. The ex-
pected value of the local maximum
( )
p p
X T may be
considered as a non-negative real valued function of
a fictitious variable
p
t . Since one has for every
( ) 0 t ,T e the inequality
( )
( )
p p p
X T T t X t = > then it
follows
( )
( )
p p p
E X T T t E X t 0
(
= > = (


.
The measure of the function ( )
p p
E X t T t
(
=

on
( ) t ,t dt + is written
( ) ( ) ( )
( )
t dt
p p
t
p p
m t ,t dt E X t T t dt
E X t T t dt
+
(
+ = = =

(
=

}
(33 )
The probability that the conditional random variable
mp
T A occurs during the small interval
( ) t ,t dt + may be considered proportional to the ex-
pected value of the conditional peak
( ) ( )
p p
p t dt E X t T t dt
(
=

. ( 34)
A probability measure is defined by the ratio
( )
p p
E X t T t dt q
(
=

. One may express the den-
sity of the time of global maximum as
( )
( ) ( )
m
p p
T
E X t T t f x,t dx
f t
q
+

(
=

=
}
(35 )
where the normalizing constant q is given by
( ) ( )
0
T
p p
q E X t T t f x,t dx dt
+

(
= =

} }
. (36 )
Using the equation (6) the density of the time of
global maximum results in the approximate form
( )
( )
( )
0
m
T
T
x f x,t dx
f t
x f x,t dx dt
+

=
}
} }
(37 )
Mathematical considerations in (28) and numerical
simulations have proved that
( ) ( ) 0
x x
lim f x,t lim f x,t
+
= = . (38 )
Significant simulation of time histories of X(t) is re-
quired to determine the values of ( ) x,t o . A method
to evaluate critical quantity ( ) x,t o involves simula-
tion of more time histories of X(t) modeled as a
Gaussian process. One needs to create a computer
program to counts the numbers of times when a local
peak and the global maximum occur during every
small interval | | t ,t t + A between ( ) x, x dx + . The
fraction of the number of times of global maximum
with respect to total number of peaks is used as the
estimate ( ) x,t o . A difficulty of this approach is that
it requires a great number of time histories to find a
stable expected numbers of times. After these simu-
lations one has found that ( ) x,t o is approximated
by the function
( ) ( ) ( ) ( )
1
1
2
x,t erf x w t o ~ (39 )
where ( ) w t x s . In Equation (39) one has
( ) 1
x
lim x,t o

= ( ) 0
x
lim x,t o

= . ( 40)
8 PEAK OVER THRESHOLD APPROACH
In earthquake engineering for a certain site only
earthquakes greater than a given magnitude are tak-
en into account in the seismic analysis of structures.
Most samples of X(t) are irrelevant and should be
disregarded. All realizations of the global maximum
smaller than a given threshold are removed. One
presumes
pT
E N 1 ( >

. Due to the continuity of the
integrand and to the monotonicity of the double in-
tegral (4) one results that there exists a level u so
that
( ) ( ) ( )
T
u
p
0 u
E N 0,T dt f x,t dx 1
+
(
= =

} }
(41)
i.e. the expected number of maxima above the level
u during the interval ( ) 0,T equals unity. These max-
ima may occur during a sample path or may not oc-
cur. In a trajectory of X(t) are possible one or two
maxima above u, in another trajectory no peak of
this kind is found. It is case of a random variable
u
p
X different from the global maximum
m
X but
quite close to it.
u
p
X takes on values in the interval
| | 0,+ and
m
X in the real line. The probability to
have a local maximum above u within ( ) t ,t dt +
equals the expected number of peaks above u in the
same interval
( )
( )
( )
( ) ( )
u
p
u
u
p
P X in t ,t dt dt f x,t dx
E N t ,t dt .
+
+ = =
(
+

}
( 42)
The density function of the random variable can be
expressed as
( ) ( )
0
u
p
T
X
f x f x,t dt =
}
(43 )
The cumulative distribution function of
u
p
X may be
written in the form
( ) ( )
0
u
p
x T
X
u
F x f s,t dtds =
} }
. (44 )
Almost surely one will obtain a peak above u.
Theoretically it is possible no occurring a local max-
imum above u in a very small number of samples.
9 SEISMIC ANALYSIS
Consider the stochastic equation of linear SDOF sys-
tems under earthquake action modeled as a modu-
lated white noise
( ) ( ) ( ) ( ) ( )
2
2 X t X t X t A t W t e e + + =

( 45)
where X(t) = the stochastic system displacement, the
over dots denotes the first and the second deriva-
tives in the mean-square sense, = the damping co-
efficient, e = the angular frequency, A(t) = a modu-
lating function, W(t)= a white noise with spectral
density
0
S . The parameters of the zero-mean modu-
lated Gaussian white noise resulted from the analysis
of the accelerograms recorded in Bucharest, Roma-
nia, during the 1977, 1986 and 1990 Vrancea events.
The response X(t) is a zero-mean nonstationary sto-
chastic process. In the first step the variance and
correlation functions of X(t) and its derivatives will
be determined by using the formulas
( ) ( ) ( )
2 2 2
0
0
2
t
X
t S h t A t d o t t t t =
}

( ) ( ) ( )
2 2 2
0
0
2
t
X
t S h t A t d o t t t t =
}

( ) ( ) ( )
2 2 2
0
0
2
t
X
t S h t A t d o t t t t =
}

( ) ( ) ( ) ( )
2 2
0
0
2
t
XX
t S h t h t A t d o t t t t t =
}

Figure 1. Distribution of the global maximum

where ( ) h t t , ( ) h t t

, ( ) h t t

are the impulse

response function of the SDOF system and its de-
rivatives. By using Eq. (26) the function a(t), b(t),
c(t), d(t) can be evaluated then from Eq. (29) func-
tion f(x,t) results for every t in the interval | | 0,T .
In Fig.1 they are plotted the shapes of the cumula-
tive distribution functions of the global maximum
m
X (continuous line) and its substitute
u
p
X (broken
line) that are given by Eqs. (23) and (44).
10 CONCLUSIONS
In this paper it is studied the connection between the
magnitude and location of the global maximum of
nonstationary stochastic processes as the random
variables
m
X and
m
T . One has attempted to build a
bridge between the points of view of the mathemati-
cal theory and the engineering applications of the
stochastic modeling. The basic tool is the Rice for-
mula for the moments of the number of local maxi-
ma of stochastic processes. From recent researches
developed by mathematicians and engineers some
open and interesting methods was used. The main
results are the closed-form formulas (15) and (23)
i.e. the expressions of the density function of
m
T
and the joint distribution function of
m
X and
m
T
which are applicable to general nonstationary proc-
esses. These formulas lead to computational difficul-
ties associated with solving complicate time inte-
grals. In the peak over threshold approach only
local maxima above a high level are included and a
substitute random variable
u
p
X for
m
X and its dis-
tribution function (44) are proposed. The damage
potential of an earthquake is better estimated by tak-
ing into account the peaks above a certain threshold
level in the response of a dynamical system. The
utility of mathematical results can be demonstrated
in some applications and numerical simulations.
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