The distribution of exit times for weakly colored noise

DOI10.1007/BF01044718MaRDI QIDQ751069zbMATH OpenFDO

Authors Patrick S. Hagan, Charles R. Doering, C. David Levermore

Publication date 1989

Published in Journal of Statistical Physics (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processBrownian motionFokker-Planck equationsingular perturbation methods

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• scientific article; zbMATH DE number 3438157 (Why is no real title available?)
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• scientific article; zbMATH DE number 3236230 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• A drop of ink falls from my pen. . . it comes to earth, I know not when
• Boundary value problems in abstract kinetic theory
• Mean Exit times for Particles Driven by Weakly Colored Noise
• Noise-induced transitions. Theory and applications in physics, chemistry, and biology
• On the Theory of the Brownian Motion II
• Stability and Control of Stochastic Systems with Wide-band Noise Disturbances. I
• The Brownian movement and stochastic equations

Cited in

(14)

• Approximations of Lévy processes by integrated fast oscillating Ornstein–Uhlenbeck processes
• Colored noise and a characteristic level crossing problem
• Run and tumble particle under resetting: a renewal approach
• Optimizing Brownian escape rates by potential shaping
• Strong approximation rate for Wiener process by fast oscillating integrated Ornstein-Uhlenbeck processes
• Statistical properties of the Burgers equation with Brownian initial velocity
• Exponentially distributed noise—its correlation function and its effect on nonlinear dynamics
• Half-range expansion analysis for Langewin dynamics in the high-friction limit with a singular absorbing boundary condition: noncharacteristic case
• A diffusive information preservation method for small Knudsen number flows
• First-passage problems for degenerate two-dimensional diffusion processes
• Half-range completeness for the Fokker-Planck equation with an external force
• Time scales and exponential trend to equilibrium: Gaussian model problems
• Mean Exit times for Particles Driven by Weakly Colored Noise
• Statistical descriptions of polydisperse turbulent two-phase flows

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