The study on a stochastic system with non-Gaussian noise and Gaussian colored noise

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.     

Accurate Monte Carlo tests of the stochastic Ginzburg-Landau model with multiplicative colored noise

A accurate and fast Monte Carlo algorithm is proposed for solving the Ginzburg-Landau equation with multiplicative colored noise. The stable cases of solution for choosing time steps and trajectory numbers are discussed.     

The projection approach to the Fokker-Planck equation. I. Colored Gaussian noise

It is shown that the Fokker-Planck operator can be derived via a projection-perturbation approach, using the repartition of a more detailed operator into a perturbation ₁ and an unperturbed part ₀. The standard Fokker-Planck structure is recovered at the second order in ₁, whereas the perturbation terms of higher order are shown to provoke the breakdown of this structure. To get rid of these higher order terms, a key approximation, local linearization (LL), is made. In general, to evaluate at the second order in ₁ the exact expression of the diffusion coefficient which simulates the influence of a Gaussian noise with a finite correlation time, a resummation up to infinite order in must be carried out, leading to what other authors call the best Fokker-Planck approximation (BFPA). It is shown that, due to the role of terms of higher order in ₁, the BFPA leads to predictions on the equilibrium distributions that are reliable only up to the first order in t. The LL, on the contrary, in addition to making the influence of terms of higher order in ₁ vanish, results in a simple analytical expression for the term of second order that is formally coincident with the complete resummation over all the orders in t provided by the Fox theory. The corresponding diffusion coefficient in turn is shown to lead in the limiting case to exact results for the steady-state distributions. Therefore, over the whole range 0 the LL turns out to be an approximation much more accurate than the global linearization proposed by other authors for the same purpose of making the terms of higher order in ₁ vanish. In the short- region the LL leads to results virtually coincident with those of the BFPA. In the large- region the LL is a more accurate approximation than the BFPA itself. These theoretical arguments are supported by the results of both analog and digital simulation.     

Numerical solution of differential equations with colored noise

Using the general theory of numerical integration of stochastic differential equations, a constructive approach to numerical methods for a system with colored noise is proposed. Efficient methods up to the 5/2 strong order and up to the third weak order, including Runge-Kutta and implicit schemes, are presented. The algorithms are tested on the Kubo oscillator.     

A stochastic return map for stochastic differential equations

A method is presented for constructing a stochastic return map from a stochastic differential equation containing a locally stable limit cycle and small-amplitude [O()] additive Gaussian colored noise. The construction is valid provided the correlation time isO() orO(1). The effective noise in the return map has nonzeroO( ²) mean and is state dependent. The method is applied to a model dynamical system, illustrating how the effective noise in the return map depends on both the original noise process and the local deterministic dynamics.     

Effects of colored noise and noise delay on a calcium oscillation system

As a calcium oscillations system is in steady state, the effects of colored noise and noise delay on the system is investigated using stochastic simulation methods. The results indicate that: (1) the colored noise can induce coherence bi-resonance phenomenon. (2) there exist three peaks in the R–_τ0$R\text{–}{\tau }_0$ (R$R$ is the reciprocal coefficient of variance, and _τ0${\tau }_0$ is the self-correlation time of the colored noise) curves. For the same noise intensity Q=1$Q=1$, the Gaussian colored noise can induce calcium spikes but the white noise cannot do this. (3) the delay time can improve noise induced spikes regularity as _τ0${\tau }_0$ is small, and R$R$ has a significant minimum with increasing τ$\tau$ as _τ0${\tau }_0$ is large. (4) large values of ζ$\zeta$ reduce noise induced spikes regularity.     

The van Kampen expansion for the Fokker-Planck equation of a duffing oscillator excited by colored noise

In Rodríguez and van Kampen's 1976 paper a method of extracting information from the Fokker-Planck equation without having to solve the equation is outlined. The Fokker-Planck equation for a Duffing oscillator excited by white noise is expanded about the intensity of the forcing function. In Weinstein and Benaroya, the effect of the order of expansion is investigated by carrying the expansion to a higher order. The effect of varying the system parameters is also investigated. All results are verified by comparison to Monte Carlo experiments. In this paper, the van Kampen expansion is modified and applied to the case of a Duffing oscillator excited by colored noise. The effect of the correlation time is investigated. Again the results are compared to those of Monte Carlo experiments. It is found that the expansion compares closely with those of the Monte Carlo experiments as the correlation time _c is varied from 0.001 to 10 sec. Examination of the results reveals that the colored noise can be categorized in one of four ways: (1) for the noise can be considered as white for all intents and purposes, (2) for the noise can be considered white for some purposes, (3) for the correlated nature of the noise must be considered in an analysis, and (4) for the noise can be considered as deterministic.     

色噪声驱动的双奇异随机系统的熵流与熵产生

讨论一类 (非平衡约束下) 高斯色噪声驱动的双奇异随机系统对应的Fokker-Planck方程，结合Shannon信息熵定义给出此类系统的熵流、熵产生随时间演化的精确表达式.分析(非平衡约束下)所引入的奇异性强度参数、噪声相关时间与耗散参数的相互作用以及对熵流、熵产生的显著影响. 关键词： 信息熵 熵流与熵产生 双奇异随机系统 高斯色噪声     

色关联噪声驱动下非线性神经元模型的相干共振

研究了关联的加性离子通道噪声和乘性突触噪声共同作用下非线性积分发放神经元模型中的相干共振现象.运用绝热近似理论和统一色噪声近似方法,得到了神经元首次点火概率分布和神经元放电峰峰间隔的变差系数的近似表达式.研究表明,首次点火概率分布和变差系数是突触噪声强度、离子通道噪声强度、乘性色噪声自相关时间和噪声关联强度的函数,适当的噪声强度、噪声自相关时间和噪声关联强度可以减小神经元发放峰峰间隔的变差系数,使系统的相干性达到最大值,从而引起神经元出现相干共振现象.同时讨论了离子通道噪声强度、突触噪声强度、乘性色噪声自相关时间和噪声关联强度对系统相干共振的影响.     

Large deviations for the stochastic derivative Ginzburg-Landau equation with multiplicative noise

This paper first proves the existence of a unique mild solution to the stochastic derivative Ginzburg-Landau equation. The fixed point theorem for the corresponding truncated equation is used as the main tool. Since we restrict our study to the one-dimensional case, it is not necessary to introduce another Banach space and thus the estimates of the stochastic convolutions in the Banach space are avoided. Secondly, we also consider large deviations for the stochastic derivative Ginzburg-Landau equation perturbed by a small noise. Since the underlying space considered is Polish, using the weak convergence approach, we establish a large deviations principle by proving a Laplace principle.     

色噪声驱动的双奇异随机系统随时间演化的熵变化率上界

通过变换的方法讨论了一类高斯色噪声驱动的双奇异随机系统所对应的Fokker-Planck方程, 并结合Shannon信息熵的定义及Schwartz不等式原理给出了经变换后该系统随时间演化的熵变化率上界的精确表达式. 分析了奇异性强度参数、噪声相关时间与耗散参数对熵变化率上界的显著影响.     

Noisy one-dimensional maps near a crisis. I. Weak Gaussian white and colored noise

We study one-dimensional single-humped maps near the boundary crisis at fully developed chaos in the presence of additive weak Gaussian white noise. By means of a new perturbation-like method the quasi-invariant density is calculated from the invariant density at the crisis in the absence of noise. In the precritical regime, where the deterministic map may show periodic windows, a necessary and sufficient condition for the validity of this method is derived. From the quasi-invariant density we determine the escape rate, which has the form of a scaling law and compares excellently with results from numerical simulations. We find that deterministic transient chaos is stabilized by weak noise whenever the maximum of the map is of orderz>1. Finally, we extend our method to more general maps near a boundary crisis and to multiplicative as well as colored weak Gaussian noise. Within this extended class of noises and for single-humped maps with any fixed orderz>0 of the maximum, in the scaling law for the escape rate both the critical exponents and the scaling function are universal.     

The projection operator approach to the Fokker-Planck equation. II. Dichotomic and nonlinear Gaussian noise

Two models for the Freedericksz transition in a fluctuating magnetic field are considered: one is based on a dichotomic and the other on a nonlinear Gaussian noise. Both noises are characterized by a finite correlation time. It is shown that the linear response assumption leading to the best Fokker-Planck approximation in the dichotomic and nonlinear Gaussian cases can be trusted only up to the order ¹ and ⁰, respectively. The role of the corrections to the linear response approximation is discussed and it is shown how to replace the non-Fokker-Planck terms stemming from these corrections with equivalent terms of standard type. This technique is shown to produce perfect agreement with the exact analytical results (dichotomic noise) and to satisfactorily fit the results of analog simulation (nonlinear Gaussian noise).     

Time evolution of information entropy for a stochastic system with double singularities driven by quasimonochromatic noise

<正>This paper deals with the time evolution of information entropy for a stochastic system with double singularities driven by quasimonochromatic noise.The dimension of the Fokker-Planck equation is reduced by the linear transformation. The exact expression of the time dependence of information entropy is obtained based on the definition of Shannon’s information entropy.The relationships between the properties of dissipative parameters,system singularity strength parameter,quasimonochromatic noise,and their effects on information entropy are discussed.     

Holes in the probability density of strongly colored noise driven systems

A qualitative change in the topology of the joint probability densityP(,x), which occurs for strongly colored noise in multistable systems, has recently been observed first by analog simulation (F. Moss and F. Marchesoni,Phys. Lett. A 131:322 (1988)) and confirmed by matrix continued fraction methods (Th. Leiber and H. Riskin, unpublished), and by analytic theory (P. Hänggi, P. Jung, and F. Marchesoni,J. Stat. Phys., this issue). Systems studied were of the classx=–U(x)/x+(t,), whereU(x) is a multistable potential and (t, ) is a colored, Gaussian noise of intensityD, for which =0, and (t) (s)=(D/)exp(–t–s/). When the noise correlation time is smaller than some critical value ₀, which depends onD, the two-dimensional densityP(,x) has the usual topology [P. Jung and H. Risken,Z. Phys. B 61:367 (1985); F. Moss and P. V. E. McClintock,Z. Phys. B 61:381 (1985)]: a pair of local maxima ofP(,x), which correspond to a pair of adjacent local minima ofU(x), are connected by a single saddle point which lies on thex axis. When >₀, however,the single saddle disappears and is replaced by a pair of off-axis saddles. A depression, or hole, which is bounded by the saddles and the local maxima thus appears. The most probable trajectory connecting the two potential wells therefore does not pass through the origin for >₀, but instead must detour around the local barrier. This observation implies that successful mean-first-passage-time theories of strongly colored noise driven systems must necessarily be two dimensional (Hänggiet al.). We have observed these holes for several potentialsU(x): (1)a soft, bistable potential by analog simulation (Moss and Marchesoni); (2) a periodic potential [Th. Leiber, F. Marchesoni, and H. Risken,Phys. Rev. Lett. 59:1381 (1987)] by matrix continued fractions; (3) the usual hard, bistable potential,U(x)=–ax ²/2+bx ⁴/4, by analog simulations only; and (4) a random potential for which the forcingf(x)=–U(x)/x is an approximate Gaussian with nonzero correlation length, i.e., colored spatiotemporal noise, by analog simulation. There is a critical curve ₀(D) in the versusD plane which divides the two topological behaviors. For a fixed value ofD, this curve is shifted toward larger values of ₀ for progressively weaker barriers between the wells. Therefore, strong barriers favor the observation of this topological transformation at smaller values of . Recently, an analytic expression for the critical curve, valid asymptotically in the small-D limit, has been obtained (Hänggiet al.).This paper will appear in a forthcoming issue of theJournal of Statistical Physics.     

Stationary properties of a single-mode laser system with non-Gaussian and Gaussian noise

A single-mode laser system with non-Gaussian and Gaussian noise is investigated. The stationary mean value and the normalized variance of the laser intensity are numerically calculated under the condition that the stationary probability distribution function (SPDF) is derived. The SPDF as a function of the laser intensity exhibits a maximum. The maximum becomes smaller with the increase of the correlation intensity or the non-Gaussian parameter, where the later is a measure of the deviation from the Gaussian characteristic. The maximum becomes larger as the correlation time increases. The laser intensity stationary mean value decreases with the increase of the correlation intensity or the non-Gaussian parameter while increases with the correlation time increasing. The laser intensity normalized variance increases with the increase of the correlation intensity or the non-Gaussian parameter while decreases as the correlation time increases.     

两种群随机动力系统的信息熵和动力学研究

随机种群动力学模型是研究种群间以及种群与不确定性环境间相互作用的动力学行为的数学模型. 本文从概率密度以及信息熵流、熵产生的演化角度探讨了两种群生态系统的Itô (或Statonovich)意义下随机模型的动力学行为.利用Fokker-Planck方程及其边界条件 和信息熵定义导出信息熵流(平均散度)和熵产生的关系式,并通过数值路径积分法捕 捉到熵流的非线性变化趋势以及信息熵的极值点位置与概率密度的快速迁移和分岔的联系. 应用数值路径积分法计算结果表明Itô (或Statonovich)意义下两种随机模型的概率密度 和信息熵的极值点位置不同但演化趋势一致.     

Multiplicative non-Gaussian noise and additive Gaussian white noise induced transition in a piecewise nonlinear model

We study the transition problems in a piecewise nonlinear model induced by correlated multiplicative non-Gaussian noise and additive Gaussian white noise. Firstly, applying the path integral approach, the unified colored noise approximation, the analytical expression of the steady-state probability density function (SPD) is derived. Then the change regulation of the SPD is analyzed with the change of the strength and relevance of multiplicative noise and additive noise. From numerical computations we obtain some new nonlinear phenomena: the transition can be induced by the cross-correlation strength between noises, the non-Gaussian noise intensity and the Gaussian noise intensity as well as the non-Gaussian noise deviation parameter. This indicates that the effect of the non-Gaussian noise intensity on SPD is the same as that of the Gaussian noise intensity. Moreover, we also find the correlation time of the non-Gaussian noise can not induce the transition.     

On the validity of stochastic rate equations in finite systems with finite-strength interactions

Starting with the Hamiltonian for a linear harmonic chain of 2N particles of massm and one of massM, we have carried out numerical calculations for the momentum autocorrelation function of the mass defect particle for chains with finite numberN of mass points and for nonzero values of the mass ratio=m/M. These results have been compared with the well-known exponential relaxation of the momentum autocorrelation function which is found to be the rigorous result when passing to the thermodynamic and weak-coupling limit. In these limits, the dynamics of the mass defect particle is exactly described by a Fokker-Planck equation, i.e., a stochastic equation of motion. We have shown that, to an excellent approximation, an exponential relaxation of the momentum autocorrelation function is obtained for mass ratios as high as=0.1 and for chains with only 50 particles. Thus, for the harmonic chain considered here, the stochastic equations of motion can be applied to a very good approximation far outside the usually imposed thermodynamic and weak-coupling limits.Supported in part by the Advanced Research Projects Agency of the Department of Defense as monitored by the U.S. Office of Naval Research under Contract N00014-69-A-0200-6018 and by the National Science Foundation under Grant GP28257X.