Theory of nonlinear external noise

We investigate a stochastic differential equation (SDE) with general nonlinearity in the noise. We derive an integro-differential equation for the probability density (PD) and an approximate equation for the mean first-passage time (MFPT). The approximate Fokker-Planck equation (AFPE) and MFPT are obtained for some examples.     

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.     

Langevin particle in Gaussian noise

The problem of memory of past is discussed for a Langevin particle subject to Gaussian noise of a general type. The most probable trajectories of a particle are found and a generalisation of the Girsanov formula is proposed.     

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).     

Studies in nonlinear stochastic processes. III. Approximate solutions of nonlinear stochastic differential equations excited by Gaussian noise and harmonic disturbances

A fusion of the highly successful methods of harmonic and statistical linearization is used as a first approximation in determining, either iteratively or via a nonlinear integral equation, the effects of higher harmonics and non-Gaussian distortion terms on the second-order statistics of a wide variety of nonlinear stochastic differential equations perturbed by some linear combination of Gaussian noise and a periodic deterministic/stochastic excitation. Physical a posteriori applicability criteria are presented which justify when these higher order effects may be neglected. A simple modification of this statistical-harmonic linearization procedure based upon the Fokker-Planck variance is proposed.This work was supported in part by the National Science Foundation under grant CHE75-20624.     

Random oscillator with general Gaussian noise

We study the long time behaviour of a nonlinear oscillator subject to a random multiplicative noise with a spectral density (or power-spectrum) that decays as a power law at high frequencies. When the dissipation is negligible, physical observables, such as the amplitude, the velocity and the energy of the oscillator grow as power-laws with time. We calculate the associated scaling exponents and we show that their values depend on the asymptotic behaviour of the external potential and on the high frequencies of the noise. Our results are generalized to include dissipative effects and additive noise.     

Qubit decoherence by Gaussian low-frequency noise

We have derived an explicit nonperturbative expression for decoherence of quantum oscillations in a qubit by Gaussian low-frequency noise. Decoherence strength is controlled by the noise spectral density at zero frequency, while the noise correlation time τ determines the time t of crossover from the \({1 \mathord{\left/ {\vphantom {1 {\sqrt t }}} \right. \kern-\nulldelimiterspace} {\sqrt t }}\) to the exponential suppression of coherence. We also performed Monte Carlo simulations of qubit dynamics with noise which agree with the analytical results.     

高斯噪声中的参数盲估计

一般的盲信号处理方法常忽略噪声的影响,而实际问题中噪声的影响是存在的。本文主要讨论了在协方差矩阵未知的加性高斯噪声中混合系数的盲估计问题。以最大似然估计为基础,本文提出一种求解参数的最优化算法,并给出了混合矩阵和协方差矩阵的计算式。采用高斯混合模型(GMM)来逼近源信号的概率密度函数,简化了算法中的积分,导出了一种实用的期望最大算法(EM)算法迭代式。计算机仿真结果表明,算法不仅能稳定收敛,而且在低信噪比下的性能也很好。     

Tuning diagonal components of static linear and first nonlinear polarizabilities of doped quantum dots by Gaussian white noise

We investigate the modulation of diagonal components of static linear (α_xx, α_yy) and first nonlinear (β_xxx, β_yyy) polarizabilities of quantum dots by Gaussian white noise. Quantum dot is doped with impurity represented by a Gaussian potential and repulsive in nature. The study reveals the importance of mode of application of noise (additive/multiplicative) on the polarizability components. The doped system is further exposed to a static external electric field of given intensity. As important observation we have found that the strength of additive noise becomes unable to influence the polarizability components. However, the multiplicative noise influences them conspicuously and gives rise to additional interesting features. Multiplicative noise even enhances the magnitude of the polarizability components immensely. The present investigation deems importance in view of the fact that noise seriously affects the optical properties of doped quantum dot devices.     

On bandlimitedness and lag-limitedness of fractional Gaussian noise

The contributions of this short paper are two-fold. We shall show two interesting properties of fractional Gaussian noise (fGn), namely, its bandlimitedness and lag-limitedness. The computation formulas for the maximum frequency of bandlimited fGn and the maximum lag of lag-limited fGn are proposed. In addition, we will give a new explanation of the statistical dependences of fGn based on the present bandlimitedness and lag-limitedness of fGn.     

Linear filtering of nonstationary stochastic Gaussian noise power

Optimum linear filtering of the variance of stationary Gaussian noise is extended to the case where the noise variance is a function of an unobservable Markov control process. Discrete observations are examined. Tomsk State University. Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Fizika, No. 4, pp. 3–7, April, 1999.     

A hybrid detrending method for fractional Gaussian noise

Determining trend and implementing detrending operations are important steps in data analysis. Yet there is neither precise definition of “trend” nor any logical algorithm for extracting it. In this paper, we propose a Hybrid Detrending Method (HDM) which is based on the Empirical Mode Decomposition (EMD) and the Detrended Fluctuation Analysis (DFA). Our method can remove the polynomial and sinusoidal trends from the fractional Gaussian noise (fGn) background. We illustrate the method by selected examples from artificial time series and climate data. In comparison with existing frequency domain based detrending methods, our method is a posteriori, the trend defined by our method is only derived from the data. Further, our method also preserves the scaling behavior of the original signals.     

高斯光束通过非线性介质层的限幅效应

本文用数值分析的方法研究了两维高斯光束通过一定厚度的非线性折射介质后在线性空间传播的状态,分析了光束的近场和远场横向强度分布及通过一定孔径光阑的功率.结果表明,在考虑到光束经过非线性介质时,相位与横向分布都会发生变化后,仅在非线性折射效应作用下,在远场就存在限幅效应.在一定的强度范围之内,近场也存在限幅利用的可能性.     

Partition function of a particle subject to Gaussian noise

We study the averaged partition function for a quantum particle subjected to Gaussian noise using the path integral representation. The noise is characterized by a covariance function with a strength and a range. It falls off rapidly with distance but the analytic form at short distances and the dimensionality are important. The remaining parameter is the thermal length of the particle. For a finite range we study the behavior of the partition function over the entire domain of strengths and thermal lengths. The techniques used are successively more accurate upper and lower bounds that include contributions from configurations involving traps. Particular attention is paid to a self-consistent field analysis lower bound and to a nonlocal quadratic action bound. We also study the white noise limit, i.e., vanishing range with finite values of the other parameters. In one dimension the white noise limit leads to convergent results. In three or higher dimensions the divergent terms can be isolated and computed. In two dimensions the degree of divergences changes at a finite value of the product of the strength and thermal length squared.     

Laser-fluctuation measurements in a bath of strong Gaussian noise

Remarkable intensity fluctuations were observed in the LiNdP₄O₁₂ (LNP) laser by placing a moving ground-glass plate across the ouput beam. Resonance-like behaviors were also observed by tuning the moving velocity of the ground-glass plate, with respect to relaxation oscillations. Classical rate equations including the modulation term were given to explain the observed phenomena. Similar intensity fluctuations corresponding to relaxation oscillations were observed when the LNP laser light beam was coupled to an optical fiber.     

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.