A moment approach to non-Gaussian colored noise

Hideo Hasegawa

Physica A: Statistical Mechanics and its Applications, 2007, vol. 384, issue 2, 241-258

Abstract: The Langevin system subjected to non-Gaussian colored noise has been discussed, by using the second-order moment approach with two kinds of models for generating the noise. We have derived the effective differential equation (DE) for a variable x, from which the stationary probability distribution P(x) has been calculated with the use of the Fokker–Planck equation. The result of P(x) calculated by the moment method is compared to several expressions obtained by different methods such as the universal colored noise approximation (UCNA) [Jung and Hänggi, Phys. Rev. A 35 (1987) 4464] and the functional-integral method. It has been shown that our P(x) is in good agreement with that of direct simulations (DSs). We have also discussed dynamical properties of the model with an external input, solving DEs in the moment method.

Keywords: Non-Gaussian noise; Colored noise; Moment method (search for similar items in EconPapers)
Date: 2007
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:384:y:2007:i:2:p:241-258

DOI: 10.1016/j.physa.2007.06.001

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