The unified colored noise approximation of multidimensional stochastic dynamic system

Wei-Long Duan and Hui Fang

Physica A: Statistical Mechanics and its Applications, 2020, vol. 555, issue C

Abstract: The unified colored noise approximation of multidimensional stochastic dynamic system driven by correlated Gaussian colored noises is developed. For general multidimensional stochastic dynamic system driven by Gaussian colored noises, which maybe correlate with each other and have small or large correlation times, it is transformed into multidimensional stochastic dynamic system driven by white noises. By merging method of white noises, the multiple diffusion terms of each equation of system is merged into one diffusion term, then the unified colored noise approximation for multidimensional stochastic dynamic system is established. In order to facilitate application, the specific derivation formulas of the unified colored noise approximation for common one-dimensional, two-dimensional, and three-dimensional stochastic dynamic systems are also given respectively, among, one also proves that it includes the unified colored noise approximation for one-dimensional stochastic dynamic system previously created.

Keywords: Multidimensional stochastic dynamic system; The unified colored noise approximation; Gaussian colored noise; Gaussian white noise (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303046

DOI: 10.1016/j.physa.2020.124624

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