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scientific article; zbMATH DE number 15835
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scientific article; zbMATH DE number 15835 |
Statements
25 June 1992
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characterizing coloured diffusion
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quadratic potential
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simulation
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first passage time
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0.7775020003318787
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0.7628618478775024
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0.7492082118988037
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0.7483764290809631
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0.7425150871276855
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[For the entire collection see Zbl 0706.00018.] The paper deals with the problem of characterizing coloured diffusion. The starting point is the pair of stochastic differential equations \(\dot x=W(x)+\varepsilon\), \(\dot\varepsilon=-\lambda\varepsilon+\lambda g\), where \(g\) is a Gaussian white noise and \(W(x)=x-x^ 3\). Apparently the model describes a wide variety of physical processes and the author's interest is mainly the simulation of such a process. The function \(W(\cdot)\) corresponds to a quadratic potential and the interest centers round the suitable simulation to arrive at the mean first passage time for hopping between the two potential walls implied by \(W(\cdot)\).
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