Effective Markovian approximation for non-Gaussian noises: a path integral approach

M.A. Fuentes, Horacio S. Wio and Raúl Toral

Physica A: Statistical Mechanics and its Applications, 2002, vol. 303, issue 1, 91-104

Abstract: We have analyzed diffusion in a double well potential driven by a colored non-Gaussian noise. Using a path-integral approach we have obtained a consistent Markovian approximation to the initially non-Markovian problem. Such an approximation allows us to get analytical expressions for the “mean-first-passage-time” that has been tested against extensive numerical simulations.

Keywords: Non-Gaussian processes; Non-Markovian processes; First passage time; Path integrals (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (20)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:303:y:2002:i:1:p:91-104

DOI: 10.1016/S0378-4371(01)00435-6

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