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

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  • Zhang, Huiqing
  • Xu, Wei
  • Xu, Yong

Abstract

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.

Suggested Citation

  • 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.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:6:p:781-788
    DOI: 10.1016/j.physa.2008.11.046
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    References listed on IDEAS

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