The study on a stochastic system with non-Gaussian noise and Gaussian colored noise

Huiqing Zhang, Wei Xu and Yong Xu

Physica A: Statistical Mechanics and its Applications, 2009, vol. 388, issue 6, 781-788

Abstract: In this paper, a stochastic system with correlation between non-Gaussian noise and Gaussian colored noise is investigated. We carry out the functional methods to derive the approximate Fokker–Planck equation, and the expressions of stationary probability density function and mean first-passage time are presented. Also we explore the effects of correlation between non-Gaussian and Gaussian noise for the mean first-passage time.

Keywords: Non-Gaussian noise; Fokker–Planck equation (FPE); Stationary probability density function; Mean first-passage time (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:388:y:2009:i:6:p:781-788

DOI: 10.1016/j.physa.2008.11.046

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