The study on a stochastic system with non-Gaussian noise and Gaussian colored noise |
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| Authors: | Huiqing Zhang |
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| Affiliation: | Department of Applied Mathematics, Northwestern Polytechnical University, Xi’an, Shaanxi, 710072, PR China |
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| Abstract: | In this paper, a stochastic system with correlation between non-Gaussian noise and Gaussian colored noise is investigated. We carry out the functional methods to derive the approximate Fokker-Planck equation, and the expressions of stationary probability density function and mean first-passage time are presented. Also we explore the effects of correlation between non-Gaussian and Gaussian noise for the mean first-passage time. |
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| Keywords: | Non-Gaussian noise Fokker-Planck equation (FPE) Stationary probability density function Mean first-passage time |
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