Transient behavior of the moments of a stochastic differential equation with two random coefficients

Details Transient behavior of the moments of a stochastic differential equation with two random coefficients Transient behavior of the moments of a stochastic differential equation with two random coefficients

Jun 2000

adsabs.harvard.edu/cgi-bin/nph-data_query?bibcode=2000aipc..519..332i&link_type=abstract

STATISTICAL PHYSICS: Third Tohwa University International Conference. AIP Conference Proceedings, Volume 519, pp. 332-334 (2000

Physics

Stochastic Analysis Methods, Noise, Stochastic Processes

Scientific paper

Moments and probability distribution of time series generated by a stochastic differential equation with two random coefficients are investigated by discrete time-dependent model of the noise and a computer simulation. Influence of initial condition, amplitude of fluctuation, and time correlation of frequency noise upon time dependence of the moment is pointed out theoretically and actual calculation is done by a computer simulation. It is found from the simulation, for example, that time correlated frequency model introduced in this paper suppresses divergence of second moment. .

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