Langevin-like equation with colored noise

Consider a stochastic differential equation of the form of a Langevin equation, but in which the noise source is not white. If it is nearly white, i.e., its autocorrelation time is short, a systematic approximation method is known. It leads to a Fokker-Planck equation with successive higher order corrections. To obtain the coefficients more explicitly, a secondary expansion may be employed. The validity of the resulting double series approximation is discussed and confronted with the various results given in the literature. In addition, an alternative approximation method is obtained using the technique for eliminating fast variables. It produces the same terms in a different sequence.     

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.     

Array-enhanced logical stochastic resonance subject to colored noise

This paper proposes an approach that uses a parallel array to improve the reliability and robustness of logical stochastic resonance subject to colored noise. The experimental results demonstrate that (i) the increase of array size can extend the optimal range of noise intensity and increase the maximum probability of obtaining correct logic operation. (ii) The optimal range of noise correlation time is broadened with the increase of array size. (iii) The main difference between logical stochastic resonance subject to white noise and colored noise is that the increase of noise correlation time broadens the optimal range of noise intensity when the stochastic noise is colored noise. At the same time, the maximum probability of obtaining correct logic operation is close to 1. Therefore, reliable and robust logic gate can be realized under a certain array size.     

Dynamics of a horizontal saccadic oculomotor system with colored noise

Intermittent nystagmus is a special kind of nystagmus with an irregular attack time. Its pathogenesis remains unclear. Recently, nonlinear dynamic methods used to explore the mechanisms responsible for intermittent nystagmus have received increased attention. The current study examines the dynamic properties of the bistable horizontal saccadic oculomotor system driven by colored noise. The most probable amplitude, stationary probability density of response, and signal-to-noise ratio curves with different parameters are obtained through stochastic numerical simulation. Then, the stochastic P bifurcation and coherent resonance phenomenon of the saccadic oculomotor system are analyzed. Results indicate that inhibition strength, noise intensity, or correlation time could induce stochastic P bifurcation, which may explain the development of intermittent nystagmus. Further, it is found that intermittent nystagmus can be suppressed by increasing inhibition strength, and that correlation time and noise intensity can lead to coherence resonance.     

Colored noise in activated rate processes

We consider bistable systems driven by stationary wideband Gaussian colored noise. We construct uniform asymptotic expansions of the stationary probability density function and of the activation rate, for small intensity and short correlation time of the noise. We find that for different values of the total power output / of the noise, different terms in the asymptotic expansions become dominant. For we recover previously derived results, while for =O() and new results are obtained.     

Stochastic resonance in periodic potentials driven by colored noise

We studied the motion of an underdamped Brownian particle in a periodic potential subject to a harmonic excitation and a colored noise. The average input energy per period and the phase lag are calculated to quantify the phenomenon of stochastic resonance (SR). The numerical results show that most of the out-of-phase trajectories make a transition to the in-phase state as the temperature increases. And the colored noise delays the transitions between these two dynamical states. The each curve of the average input energy per period and the phase lag versus the temperature exist a mono peak and SR appears in this system. Moreover, the optimal temperature where the SR occurs becomes larger and the region of SR grows wider as the correlation time of colored noise increases.     

Asymptotic results for a persistent diffusion model of Taylor dispersion of particles

We study Taylor diffusion for the case when the diffusion transverse to the bulk motion is a persistent random walk on a one-dimensional lattice. This is mapped onto a Markovian walk where each lattice site has two internal states. For such a model we find the effective diffusion coefficient which depends on the rate of transition among internal states of the lattice. The Markovian limit is recovered in the limit of infinite rate of transitions among internal states; the initial conditions have no role in the leading-order time-dependent term of the effective dispersion, but a strong effect on the constant term. We derive a continuum limit of the problem presented and study the asymptotic behavior of such limit.     

On a simple derivation of master equations for diffusion processes driven by white noise and dichotomic Markov noise

A very simple way is presented of deriving the partial differential equations (the master equations) satisfied by the probability density for certain kinds of diffusion processes in one dimension, in which the driving term is a Gaussian white noise, or a dichotomic noise, or a combination of the two. The method involves the use of certain ‘formulas of differentiation’ to derive the equations obeyed by the characteristic functions of the processes concerned, and thence the corresponding master equations. The examples presented cover a substantial number of diffusion processes that occur in physical modelling, including some master equations derived recently in the literature for generalizations of persistent diffusion.     

Stochastic bifurcations of generalized Duffing–van der Pol system with fractional derivative under colored noise

The stochastic bifurcation of a generalized Duffing–van der Pol system with fractional derivative under color noise excitation is studied. Firstly, fractional derivative in a form of generalized integral with time-delay is approximated by a set of periodic functions. Based on this work, the stochastic averaging method is applied to obtain the FPK equation and the stationary probability density of the amplitude. After that, the critical parameter conditions of stochastic P-bifurcation are obtained based on the singularity theory. Different types of stationary probability densities of the amplitude are also obtained. The study finds that the change of noise intensity, fractional order, and correlation time will lead to the stochastic bifurcation.     

Option pricing and perfect hedging on correlated stocks

We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time τ0. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener process. With a modified portfolio consisting in calls, secondary calls and bonds we achieve a riskless strategy which results in a closed and exact expression for the European call price which is always lower than Black-Scholes price. We obtain the same price and a modified delta hedging if we start from an effective one-dimensional market model. We compare these strategies and study the sensitivity of the call price to several parameters where the correlation effects are also observed.     

A new method of analysis of the effect of weak colored noise in nonlinear dynamical systems

A systematic method for obtaining the asymptotic behavior of a dynamical system forced by colored noise in the limit of small intensity is developed. It is based on the search of WKB solutions to the Fokker-Planck equation for the joint probability density of the system and noise, in which the perturbation expansion is continued to the first correction beyond the Hamilton-Jacobi limit. The method can be applied to noise with correlation time of order unity. It is illustrated on the normal form of a pitchfork bifurcation, where it is pointed out that additive noise can induce a shift of the most probable value. This prediction is confirmed by numerical simulation of the stochastic differential equations.     

Stochastic responses of Duffing–Van der Pol vibro-impact system under additive colored noise excitation

A response analysis procedure is developed for a vibro-impact system excited by colored noise. The non-smooth transformation is used to convert the vibro-impact system into a new system without impact term. With the help of the modified quasi-conservative averaging, the total energy of the new system can be approximated as a Markov process, and the stationary probability density function （PDF） of the total energy is derived. The response PDFs of the original system are obtained using the analytical solution of the stationary PDF of the total energy. The validity of the theoretical results is tested through comparison with the corresponding simulation results. Moreover, stochastic bifurcations are also explored.     

色高斯噪声驱动双稳系统的多重随机共振研究

研究了由色关联乘性和加性色噪声作用下的双稳系统的随机共振问题,在绝热近似条件下得到了信噪比的表达式.通过分析所得的初始条件为 x(0)=x₊ 时的信噪比,发现了单随机共振和多重随机共振现象;分析了噪声强度、噪声关联时间和关联强度对系统信噪比的影响. 关键词： 多重随机共振 信噪比 双稳模型 色关联色噪声     

信号调制色泵噪声和实虚部间关联量子噪声驱动下单模激光的随机共振现象

计算了受信号调制的色泵噪声和实虚部间关联的量子噪声驱动的单模激光损失模型的输出光强信噪比.发现信噪比R随泵噪声自关联时间τ、调制信号频率Ω和量子噪声实虚部间关联系数λq的变化均存在随机共振,这种现象扩展了“信噪比R对噪声强度的变化曲线具有极大值”的典型随机共振. 若以Ω为参数,当Ω增加时,Ｒ随τ的关系曲线经历了从同时出现共振和抑制到单峰共振,最后到单调上升的变化,呈现多种形式的随机共振．若以τ为参数,当τ增加时,Ｒ随Ω的关系曲线经历了从单调上升到同时出现共振和抑制,最后又到单调下降的变化过程．Ｒ随λq的关 关键词： 噪声 信噪比 随机共振     

Effective potential and weak noise transitions

We review the notion of effective potential for stochastic processes and discuss its possible applications. We calculate this function up to first order in a parameter measuring the intensity of the noise for a general nonlinear system. The result is applied exhibiting a transition induced by weak noise.     

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.     

Medium Entropy Reduction and Instability in Stochastic Systems with Distributed Delay

Many natural and artificial systems are subject to some sort of delay, which can be in the form of a single discrete delay or distributed over a range of times. Here, we discuss the impact of this distribution on (thermo-)dynamical properties of time-delayed stochastic systems. To this end, we study a simple classical model with white and colored noise, and focus on the class of Gamma-distributed delays which includes a variety of distinct delay distributions typical for feedback experiments and biological systems. A physical application is a colloid subject to time-delayed feedback control, which is, in principle, experimentally realizable by co-moving optical traps. We uncover several unexpected phenomena in regard to the system’s linear stability and its thermodynamic properties. First, increasing the mean delay time can destabilize or stabilize the process, depending on the distribution of the delay. Second, for all considered distributions, the heat dissipated by the controlled system (e.g., the colloidal particle) can become negative, which implies that the delay force extracts energy and entropy of the bath. As we show here, this refrigerating effect is particularly pronounced for exponential delay. For a specific non-reciprocal realization of a control device, we find that the entropic costs, measured by the total entropy production of the system plus controller, are the lowest for exponential delay. The exponential delay further yields the largest stable parameter regions. In this sense, exponential delay represents the most effective and robust type of delayed feedback.     

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.     

Dynamics of oscillators with periodic dichotomous noise

The dynamics of bistable oscillators driven by periodic dichotomous noise is described. The stochastic differential equation governing the flow implies smooth trajectories between noise switching events. The dynamics of the two-branched map induced by this flow is a Markov process. Harmonic and quartic models of the bistable potential are studied in the overdamped limit. In the linear (harmonic) case the dynamics can be reduced to a stochastic one-dimensional map with two branches. The moments decay exponentially in this case, although the invariant measure may be multifractal. For strong damping, relaxation induces a cascade leading to a Cantor set and anomalous decay of the density in this case is modeled by a Markov chain. For the physically more realistic case of a quartic potential many additional features arise since the contraction factor is distance dependent. By tuning the barrier-height parameter in the quartic potential, noise-induced transition rates with the characteristics of intermittency are found.