scientific article; zbMATH DE number 15835
[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 \(W(\cdot)\).
- Numerical simulations of stochastic differential equations
- Stochastic differential equations describing systems with coloured noise
- Colored Noise in Dynamical Systems
- Approximate stationary solution and stochastic stability for a class of differential equations with parametric colored noise
- Numerical solution of differential equations with colored noise
- Accurate Monte Carlo tests of the stochastic Ginzburg-Landau model with multiplicative colored noise
- Stochastic differential equations describing systems with coloured noise
- scientific article; zbMATH DE number 1425336 (Why is no real title available?)
- Effective Markovian approximation for non-Gaussian noises: A path integral approach
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