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

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.

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Year of publication:	2009
Authors:	Zhang, Huiqing ; Xu, Wei ; Xu, Yong
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 388.2009, 6, p. 781-788
Publisher:	Elsevier
Subject:	Non-Gaussian noise \| Fokker–Planck equation (FPE) \| Stationary probability density function \| Mean first-passage time

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010872031