Effective Markovian approximation for non-Gaussian noises: a path integral approach

We have analyzed diffusion in a double well potential driven by a colored non-Gaussian noise. Using a path-integral approach we have obtained a consistent Markovian approximation to the initially non-Markovian problem. Such an approximation allows us to get analytical expressions for the “mean-first-passage-time” that has been tested against extensive numerical simulations.

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Year of publication:	2002
Authors:	Fuentes, M.A. ; Wio, Horacio S. ; Toral, Raúl
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 303.2002, 1, p. 91-104
Publisher:	Elsevier
Subject:	Non-Gaussian processes \| Non-Markovian processes \| First passage time \| Path integrals

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011058420