Non-Markovian noise

Journal Article · Sat Oct 01 04:00:00 EDT 1994 · Physical Review. E, Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics; (United States)

DOI:https://doi.org/10.1103/PhysRevE.50.2668· OSTI ID:6910053

Fulinski, A ^[1]

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1. Institute of Physics, Jagellonian University, Reymonta 4, PL-30-059 Krakow (Poland)

The properties of non-Markovian noises with exponentially correlated memory are discussed. Considered are dichotomic noise, white shot noise, Gaussian white noise, and Gaussian colored noise. The stationary correlation functions of the non-Markovian versions of these noises are given by linear combinations of two or three exponential functions (colored noises) or of the [delta] function and exponential function (white noises). The non-Markovian white noises are well defined only when the kernel of the non-Markovian master equation contains a nonzero admixture of a Markovian term. Approximate equations governing the probability densities for processes driven by such non-Markovian noises are derived, including non-Markovian versions of the Fokker-Planck equation and the telegrapher's equation. As an example, it is shown how the non-Markovian nature changes the behavior of the driven linear process.

• OSTI ID: 6910053
• Journal Information: Physical Review. E, Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics; (United States), Journal Name: Physical Review. E, Statistical Physics, Plasmas, Fluids, and Related Interdisciplinary Topics; (United States) Vol. 50:4; ISSN 1063-651X; ISSN PLEEE8
• Country of Publication: United States
• Language: English

Related Subjects

661300* -- Other Aspects of Physical Science-- (1992-)
71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
CORRELATION FUNCTIONS
DIFFERENTIAL EQUATIONS
DISTRIBUTION FUNCTIONS
EQUATIONS
FOKKER-PLANCK EQUATION
FUNCTIONS
GAUSSIAN PROCESSES
MARKOV PROCESS
NOISE
PARTIAL DIFFERENTIAL EQUATIONS
STOCHASTIC PROCESSES