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Stochastic system with colored correlation between white noise and colored noise

Author

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  • Jia, Y.
  • Li, J.R.

Abstract

A stochastic system with colored correlation between white noise and colored noise is investigated theoretically. A general Fokker–Planck equation of the system is derived by using a standard method. We discuss a bistable system with colored correlation between additive white noise and multiplicative colored one. It is found that the effects of the correlation time of multiplicative colored noise on the statistical properties of the bistable system are different from those of the correlation time of the correlation between additive white noise and multiplicative colored noise on the statistical properties of the bistable system.

Suggested Citation

  • Jia, Y. & Li, J.R., 1998. "Stochastic system with colored correlation between white noise and colored noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 252(3), pages 417-427.
    • Handle: RePEc:eee:phsmap:v:252:y:1998:i:3:p:417-427
    DOI: 10.1016/S0378-4371(97)00630-4
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    Cited by:

    1. Li, Wei & Li, Jiaorui & Chen, Weisheng, 2012. "The reliability of a stochastically complex dynamical system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(13), pages 3556-3565.
    2. Dong, Xiaohui & Wang, Ming & Zhong, Guang-Yan & Yang, Fengzao & Duan, Weilong & Li, Jiang-Cheng & Xiong, Kezhao & Zeng, Chunhua, 2018. "Stochastic delayed kinetics of foraging colony system under non-Gaussian noise," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 1-13.
    3. Zhang, Huiqing & Xu, Wei & Xu, Yong, 2009. "The study on a stochastic system with non-Gaussian noise and Gaussian colored noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 781-788.

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