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arXiv 1005.0301cond-mat.stat-mech
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线性动力系统中的关联Lévy噪声

Correlated Lévy noise in linear dynamical systems

Tomasz Srokowski

摘要:

线性动力系统,驱动的非白噪声具有Levy分布,进行了分析。噪声是由一个特定的随机过程,这是由朗之万方程定义的线性力和Levy分布的对称白噪声。讨论了该过程的相关性质。由该噪声驱动的Fokker-Planck方程被求解。分布具有Levy形状,并且对于给定的时间,其宽度小于白噪声极限中的过程。讨论了线性力情况下绝热近似的适用性。

英文摘要:

Linear dynamical systems, driven by a non-white noise which has the Levy distribution, are analysed. Noise is modelled by a specific stochastic process which is defined by the Langevin equation with a linear force and the Levy distributed symmetric white noise. Correlation properties of the process are discussed. The Fokker-Planck equation driven by that noise is solved. Distributions have the Levy shape and their width, for a given time, is smaller than for processes in the white noise limit. Applicability of the adiabatic approximation in the case of the linear force is discussed.

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