Fractional Ornstein-Uhlenbeck noise

被引：4
|
作者：
Fa, Kwok Sau [1 ]
机构：
[1] Univ Estadual Maringa, Dept Fis, Av Colombo 5790, BR-87020900 Maringa, Parana, Brazil
来源：
ANNALS OF PHYSICS | 2018年 / 393卷
关键词：
Langevin equation; Fractional Ornstein-Uhlenbeck noise; Supercapacitor; Harmonic oscillator; Colored noise; ANOMALOUS DIFFUSION; LANGEVIN EQUATION; MODELS;
D O I：
10.1016/j.aop.2018.04.019
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
Fractional Ornstein-Uhlenbeck noise is considered and investigated. The fractional Ornstein-Uhlenbeck noise may be linked with a supercapacitor driven by the white noise, and its correlation function for the stationary state shows monotonic and oscillatory decays. In the case of the oscillatory behavior the correlation function presents behaviors similar to those of the harmonic noise (harmonic oscillator driven by the white noise). For application, the Langevin equation with the harmonic potential driven by the fractional Ornstein-Uhlenbeck noise is considered; the first two moments and mean energy are investigated. (C) 2018 Elsevier Inc. All rights reserved.
引用
收藏
页码：327 / 334
页数：8
相关论文
共 50 条
  • [31] STATISTICAL ANALYSIS OF THE MIXED FRACTIONAL ORNSTEIN-UHLENBECK PROCESS
    Chigansky, P.
    Kleptsyna, M.
    THEORY OF PROBABILITY AND ITS APPLICATIONS, 2019, 63 (03) : 408 - 425
  • [32] TIME-CHANGED FRACTIONAL ORNSTEIN-UHLENBECK PROCESS
    Ascione, Giacomo
    Mishura, Yuliya
    Pirozzi, Enrica
    FRACTIONAL CALCULUS AND APPLIED ANALYSIS, 2020, 23 (02) : 450 - 483
  • [33] Perturbation Theory for a Stochastic Process with Ornstein-Uhlenbeck Noise
    Michael Wilkinson
    Journal of Statistical Physics, 2010, 139 : 345 - 353
  • [34] Perturbation Theory for a Stochastic Process with Ornstein-Uhlenbeck Noise
    Wilkinson, Michael
    JOURNAL OF STATISTICAL PHYSICS, 2010, 139 (02) : 345 - 353
  • [35] Anharmonic oscillator driven by additive Ornstein-Uhlenbeck noise
    Mallick, K
    Marcq, P
    JOURNAL OF STATISTICAL PHYSICS, 2005, 119 (1-2) : 1 - 33
  • [36] Analyzing a stochastic process driven by Ornstein-Uhlenbeck noise
    Lehle, B.
    Peinke, J.
    PHYSICAL REVIEW E, 2018, 97 (01)
  • [37] Dynamical Multimodality in Systems Driven by Ornstein-Uhlenbeck Noise
    Mandrysz, Michal
    Dybiec, Bartlomiej
    ENTROPY, 2025, 27 (03)
  • [38] Gamma mixed fractional Lévy Ornstein-Uhlenbeck process
    Araya, Hector
    Garzon, Johanna
    Rubilar-Torrealba, Rolando
    MODERN STOCHASTICS-THEORY AND APPLICATIONS, 2024, 11 (01): : 63 - 83
  • [39] On drift parameter estimation for reflected fractional Ornstein-Uhlenbeck processes
    Lee, Chihoon
    Song, Jian
    STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2016, 88 (05) : 751 - 778
  • [40] Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
    Xiao, Weilin
    Zhang, Weiguo
    Xu, Weidong
    APPLIED MATHEMATICAL MODELLING, 2011, 35 (09) : 4196 - 4207
12345