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Impact of Correlated Noises on Additive Dynamical Systems

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  • Chujin Li
  • Jinqiao Duan

Abstract

Impact of correlated noises on dynamical systems is investigated by considering Fokker-Planck type equations under the fractional white noise measure, which correspond to stochastic differential equations driven by fractional Brownian motions with the Hurst parameter . Firstly, by constructing the fractional white noise framework, one small noise limit theorem is proved, which provides an estimate for the deviation of random solution orbits from the corresponding deterministic orbits. Secondly, numerical experiments are conducted to examine the probability density evolutions of two special dynamical systems, as the Hurst parameter varies. Certain behaviors of the probability density functions are observed.

Suggested Citation

  • Chujin Li & Jinqiao Duan, 2014. "Impact of Correlated Noises on Additive Dynamical Systems," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-6, September.
    • Handle: RePEc:hin:jnlmpe:678976
    DOI: 10.1155/2014/678976
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