Dynamical properties of nonmarkovian stochastic differential equations
We study nonstationary non-Markovian processes defined by Langevin-type stochastic differential equations with an OrnsteinUhlenbeck driving force. We concentrate on the long time limit of the dynamical evolution. We derive an approximate equation for the correlation function of a nonlinear nonstatio...
| Autores: | , |
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| Tipo de recurso: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 1984 |
| País: | España |
| Institución: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/24507 |
| Acceso en línea: | https://hdl.handle.net/2445/24507 |
| Access Level: | acceso abierto |
| Palabra clave: | Matemàtica aplicada Sistemes no lineals Processos estocàstics Applied mathematics Nonlinear systems Stochastic processes |
| Sumario: | We study nonstationary non-Markovian processes defined by Langevin-type stochastic differential equations with an OrnsteinUhlenbeck driving force. We concentrate on the long time limit of the dynamical evolution. We derive an approximate equation for the correlation function of a nonlinear nonstationary non-Markovian process, and we discuss its consequences. Non-Markovicity can introduce a dependence on noise parameters in the dynamics of the correlation function in cases in which it becomes independent of these parameters in the Markovian limit. Several examples are discussed in which the relaxation time increases with respect to the Markovian limit. For a Brownian harmonic oscillator with fluctuating frequency, the non-Markovicity of the process decreases the domain of stability of the system, and it can change an infradamped evolution into an overdamped one. |
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