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The unified colored noise approximation of multidimensional stochastic dynamic system

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  • Duan, Wei-Long
  • Fang, Hui

Abstract

The unified colored noise approximation of multidimensional stochastic dynamic system driven by correlated Gaussian colored noises is developed. For general multidimensional stochastic dynamic system driven by Gaussian colored noises, which maybe correlate with each other and have small or large correlation times, it is transformed into multidimensional stochastic dynamic system driven by white noises. By merging method of white noises, the multiple diffusion terms of each equation of system is merged into one diffusion term, then the unified colored noise approximation for multidimensional stochastic dynamic system is established. In order to facilitate application, the specific derivation formulas of the unified colored noise approximation for common one-dimensional, two-dimensional, and three-dimensional stochastic dynamic systems are also given respectively, among, one also proves that it includes the unified colored noise approximation for one-dimensional stochastic dynamic system previously created.

Suggested Citation

  • Duan, Wei-Long & Fang, Hui, 2020. "The unified colored noise approximation of multidimensional stochastic dynamic system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    • Handle: RePEc:eee:phsmap:v:555:y:2020:i:c:s0378437120303046
    DOI: 10.1016/j.physa.2020.124624
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    References listed on IDEAS

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    1. Duan, Wei-Long & Fang, Hui & Zeng, Chunhua, 2019. "The stability analysis of tumor-immune responses to chemotherapy system with gaussian white noises," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 96-102.
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    7. Duan, Wei-Long & Fang, Hui & Zeng, Chunhua, 2019. "Second-order algorithm for simulating stochastic differential equations with white noises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 491-497.
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    Cited by:

    1. Duan, Wei-Long, 2020. "The stability analysis of tumor-immune responses to chemotherapy system driven by Gaussian colored noises," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
    2. Zheng, Chengli & Su, Kuangxi & Yao, Yinhong, 2021. "Hedging futures performance with denoising and noise-assisted strategies," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    3. Duan, Wei-Long & Lin, Ling, 2021. "Noise and delay enhanced stability in tumor-immune responses to chemotherapy system," Chaos, Solitons & Fractals, Elsevier, vol. 148(C).

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