Solution to the backward-Kolmogorov equation for a nonstationary oscillation problem

The transition probability density function of a Markovian approximation of the response amplitude of an oscillator under nonstationary excitation is determined in an analytical form. A solution is presented for the associated backward-Kolmogorov equation by transforming the equation into a form amenable to solution by the method of the separation of variables. This procedure results in a boundary value problem which is then solved by using an infinite series of Laguerre polynomials. It is found that the infinite series solution is equivalent to a closed-form solution involving a Bessel function.