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

Huiqing Zhang; Wei Xu; Yong Xu

doi:10.1016/j.physa.2008.11.046

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

Huiqing Zhang
, Wei Xu
, Yong Xu

School of Mathematics and Statistics

Northwestern Polytechnical University Xian

Research output: Contribution to journal › Article › peer-review

28 Scopus citations

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. Crown

Original language	English
Pages (from-to)	781-788
Number of pages	8
Journal	Physica A: Statistical Mechanics and its Applications
Volume	388
Issue number	6
DOIs	https://doi.org/10.1016/j.physa.2008.11.046
State	Published - 15 Mar 2009

Keywords

Fokker-Planck equation (FPE)
Mean first-passage time
Non-Gaussian noise
Stationary probability density function

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10.1016/j.physa.2008.11.046

Cite this

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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. Crown",

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N2 - 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. Crown

AB - 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. Crown

KW - Fokker-Planck equation (FPE)

KW - Mean first-passage time

KW - Non-Gaussian noise

KW - Stationary probability density function

UR - https://www.scopus.com/pages/publications/58149345464

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M3 - 文章

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JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

IS - 6

ER -

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

Abstract

Keywords

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