Ornstein–Uhlenbeck process with fluctuating damping


Eab, Chai Hok and Lim, Swee Cheng (2018) Ornstein–Uhlenbeck process with fluctuating damping. Physica A: Statistical Mechanics and its Applications, 492. pp. 790-803. ISSN 0378-4371


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This paper studies Langevin equation with random damping due to multiplicative noise and its solution. Two types of multiplicative noise, namely the dichotomous noise and fractional Gaussian noise are considered. Their solutions are obtained explicitly, with the expressions of the mean and covariance determined explicitly. Properties of the mean and covariance of the Ornstein–Uhlenbeck process with random damping, in particular the asymptotic behavior, are studied. The effect of the multiplicative noise on the stability property of the resulting processes is investigated.

Item Type: Article
Uncontrolled Keywords: Langevin equation, Ornstein–Uhlenbeck process, Multiplicative noise, Dichotomous noise, Fractional Gaussian noise
Subjects: Q Science > QA Mathematics > QA273-280 Probabilities. Mathematical statistics
Divisions: Faculty of Engineering (FOE)
Depositing User: Ms Rosnani Abd Wahab
Date Deposited: 05 Nov 2020 19:58
Last Modified: 05 Nov 2020 19:58
URII: http://shdl.mmu.edu.my/id/eprint/7255


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