External non-white noise: Theory and experiment

J.M. Sancho, M. San Miguel, H. Yamazaki and T. Kawakubo

Physica A: Statistical Mechanics and its Applications, 1982, vol. 116, issue 3, 560-572

Abstract: We consider a system under the influence of an external gaussian noise with a flat spectrum and finite cut-off frequency. The stationery properties of the system are studied as a function of the correlation time of the noise. Theoretical predictions based on an expansion in powers of the correlation time are corroborated by experimental measurements on an electric circuit with a digital noise generator. The two main qualitative properties experimentally observed which can not be explained in a white noise limit theory are: (i) appearance of relative extrema of the stationery distribution for high noise intensity when the correlation time is not too small; (ii) dependence on the noise characteristics of the position of the maximum of the stationary distribution for low noise intensity.

Date: 1982
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:116:y:1982:i:3:p:560-572

DOI: 10.1016/0378-4371(82)90177-7

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