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A moment approach to non-Gaussian colored noise

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  • Hasegawa, Hideo

Abstract

The Langevin system subjected to non-Gaussian colored noise has been discussed, by using the second-order moment approach with two kinds of models for generating the noise. We have derived the effective differential equation (DE) for a variable x, from which the stationary probability distribution P(x) has been calculated with the use of the Fokker–Planck equation. The result of P(x) calculated by the moment method is compared to several expressions obtained by different methods such as the universal colored noise approximation (UCNA) [Jung and Hänggi, Phys. Rev. A 35 (1987) 4464] and the functional-integral method. It has been shown that our P(x) is in good agreement with that of direct simulations (DSs). We have also discussed dynamical properties of the model with an external input, solving DEs in the moment method.

Suggested Citation

  • Hasegawa, Hideo, 2007. "A moment approach to non-Gaussian colored noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 241-258.
    • Handle: RePEc:eee:phsmap:v:384:y:2007:i:2:p:241-258
    DOI: 10.1016/j.physa.2007.06.001
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    Cited by:

    1. Rytis Kazakeviv{c}ius & Aleksejus Kononovicius, 2023. "Anomalous diffusion and long-range memory in the scaled voter model," Papers 2301.08088, arXiv.org, revised Feb 2023.
    2. 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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