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Ornstein–Uhlenbeck process with fluctuating damping

Author

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  • Eab, Chai Hok
  • Lim, S.C.

Abstract

This paper studies Langevin equation with random damping due to multiplicative noise and its solution. Two types of multiplicative noise, namely the dichotomous noise and fractional Gaussian noise are considered. Their solutions are obtained explicitly, with the expressions of the mean and covariance determined explicitly. Properties of the mean and covariance of the Ornstein–Uhlenbeck process with random damping, in particular the asymptotic behavior, are studied. The effect of the multiplicative noise on the stability property of the resulting processes is investigated.

Suggested Citation

  • Eab, Chai Hok & Lim, S.C., 2018. "Ornstein–Uhlenbeck process with fluctuating damping," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 790-803.
    • Handle: RePEc:eee:phsmap:v:492:y:2018:i:c:p:790-803
    DOI: 10.1016/j.physa.2017.11.010
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    Cited by:

    1. Li, Ming & Sun, Xichao & Xiao, Xi, 2019. "Revisiting fractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 56-62.
    2. Vaidya, Tushar & Chotibut, Thiparat & Piliouras, Georgios, 2021. "Broken detailed balance and non-equilibrium dynamics in noisy social learning models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).

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