Ornstein–Uhlenbeck process with fluctuating damping

Chai Hok Eab and S.C. Lim

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 790-803

Abstract: This paper studies Langevin equation with random damping due to multiplicative noise and its solution. Two types of multiplicative noise, namely the dichotomous noise and fractional Gaussian noise are considered. Their solutions are obtained explicitly, with the expressions of the mean and covariance determined explicitly. Properties of the mean and covariance of the Ornstein–Uhlenbeck process with random damping, in particular the asymptotic behavior, are studied. The effect of the multiplicative noise on the stability property of the resulting processes is investigated.

Keywords: Langevin equation; Ornstein–Uhlenbeck process; Multiplicative noise; Dichotomous noise; Fractional Gaussian noise (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:790-803

DOI: 10.1016/j.physa.2017.11.010

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