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Effective Markovian approximation for non-Gaussian noises: a path integral approach

Author

Listed:
  • Fuentes, M.A.
  • Wio, Horacio S.
  • Toral, Raúl

Abstract

We have analyzed diffusion in a double well potential driven by a colored non-Gaussian noise. Using a path-integral approach we have obtained a consistent Markovian approximation to the initially non-Markovian problem. Such an approximation allows us to get analytical expressions for the “mean-first-passage-time” that has been tested against extensive numerical simulations.

Suggested Citation

  • Fuentes, M.A. & Wio, Horacio S. & Toral, Raúl, 2002. "Effective Markovian approximation for non-Gaussian noises: a path integral approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 303(1), pages 91-104.
    • Handle: RePEc:eee:phsmap:v:303:y:2002:i:1:p:91-104
    DOI: 10.1016/S0378-4371(01)00435-6
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    Cited by:

    1. Hongler, Max-Olivier & Filliger, Roger & Blanchard, Philippe, 2006. "Soluble models for dynamics driven by a super-diffusive noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 301-315.
    2. Wu, Jian-Li & Duan, Wei-Long & Luo, Yuhui & Yang, Fengzao, 2020. "Time delay and non-Gaussian noise-enhanced stability of foraging colony system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 553(C).
    3. Baravalle, Roman & Rosso, Osvaldo A. & Montani, Fernando, 2017. "A path integral approach to the Hodgkin–Huxley model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 986-999.
    4. Guo, Yong-Feng & Wei, Fang & Xi, Bei & Tan, Jian-Guo, 2018. "The instability probability density evolution of the bistable system driven by Gaussian colored noise and white noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 200-208.
    5. Wu, Jiancheng & Li, Xuan & Liu, Xianbin, 2016. "The moment Lyapunov exponent of a co-dimension two bifurcation system driven by non-Gaussian colored noise," Applied Mathematics and Computation, Elsevier, vol. 286(C), pages 189-200.
    6. Liu, Chenggong & Shang, Pengjian & Feng, Guochen, 2017. "The high order dispersion analysis based on first-passage-time probability in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 1-9.
    7. Han, Ping & Xu, Wei & Zhang, Hongxia & Wang, Liang, 2022. "Most probable trajectories in the delayed tumor growth model excited by a multiplicative non-Gaussian noise," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
    8. Guo, Qin & Sun, Zhongkui & Xu, Wei, 2016. "The properties of the anti-tumor model with coupling non-Gaussian noise and Gaussian colored noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 43-52.
    9. Zhu, Ping, 2021. "An equivalent analytical method to deal with cross-correlated exponential type noises in the nonlinear dynamic system," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
    10. Zhang, Huiqing & Xu, Wei & Xu, Yong, 2009. "The study on a stochastic system with non-Gaussian noise and Gaussian colored noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(6), pages 781-788.
    11. Hua, Mengjiao & Wu, Yu, 2022. "Transition and basin stability in a stochastic tumor growth model with immunization," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
    12. Pan, Yan & Ren, Yuhao & Duan, Fabing, 2018. "Noise benefits to robust M-estimation of location in dependent observations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 144-152.
    13. Ai, Hao & Yang, GuiJiang & Liu, Wei & Wang, Qiubao, 2023. "A fast search method for optimal parameters of stochastic resonance based on stochastic bifurcation and its application in fault diagnosis of rolling bearings," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
    14. Wang, Min & Fang, Yuwen & Luo, Yuhui & Yang, Fengzao & Zeng, Chunhua & Duan, Wei-Long, 2019. "Influence of non-Gaussian noise on the coherent feed-forward loop with time delay," Chaos, Solitons & Fractals, Elsevier, vol. 129(C), pages 46-55.
    15. Zhang, Ruiting & Hou, Zhonghuai & Xin, Houwen, 2011. "Effects of non-Gaussian noise near supercritical Hopf bifurcation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(2), pages 147-153.
    16. Zhang, Hongxia & Xu, Wei & Guo, Qin & Han, Ping & Qiao, Yan, 2020. "First escape probability and mean first exit time for a time-delayed ecosystem driven by non-Gaussian colored noise," Chaos, Solitons & Fractals, Elsevier, vol. 135(C).
    17. Liu, Jian & Cao, Jie & Wang, Youguo & Hu, Bing, 2019. "Asymmetric stochastic resonance in a bistable system driven by non-Gaussian colored noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 321-336.
    18. Dong, Xiaohui & Wang, Ming & Zhong, Guang-Yan & Yang, Fengzao & Duan, Weilong & Li, Jiang-Cheng & Xiong, Kezhao & Zeng, Chunhua, 2018. "Stochastic delayed kinetics of foraging colony system under non-Gaussian noise," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 1-13.
    19. Duan, Wei-Long & Fang, Hui, 2020. "The unified colored noise approximation of multidimensional stochastic dynamic system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 555(C).
    20. Guo, Yongfeng & Wang, Linjie & Wei, Fang & Tan, Jianguo, 2019. "Dynamical behavior of simplified FitzHugh-Nagumo neural system driven by Lévy noise and Gaussian white noise," Chaos, Solitons & Fractals, Elsevier, vol. 127(C), pages 118-126.

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