Approximate Fokker–Planck equation of system driven by multiplicative colored noises with colored cross-correlation

G.Y. Liang, L. Cao and D.J. Wu

Physica A: Statistical Mechanics and its Applications, 2004, vol. 335, issue 3, 371-384

Abstract: Using the Hanggi ansatz to truncate the evolution equation for probability density, an approximate Fokker–Planck equation (AFPE) is derived. This AFPE is valid for one-dimensional general systems driven by two multiplicative colored noises (τ1≠0 and τ2≠0) that are correlated in color (τ3≠0) under the condition for τ1,τ2, and τ3 to satisfy some inequalities. We apply this AFPE to a symmetrical bistable potential system driven by a colored multiplicative noise and a white additive noise with white cross-correlation. To verify the validity of our analytical approximation the numerical simulations for this system is performed. We discovered a new phenomenon that the symmetry of stationary probability density broken by the correlation between the noises can be gradually recovered as the noise self-correlation time is increased.

Keywords: Fokker–Planck equation; Noises; Colored cross-correlation (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:335:y:2004:i:3:p:371-384

DOI: 10.1016/j.physa.2003.12.023

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