Transient behavior of the moments of a stochastic differential equation with two random coefficients

Ikeda, Nobutoshi; Tsuzuki, Yuichi; Hara, Hiroaki
June 2000
AIP Conference Proceedings;2000, Vol. 519 Issue 1, p332
Academic Journal
Moments and probability distribution of time series generated by a stochastic differential equation with two random coefficients are investigated by discrete timedependent model of the noise and a computer simulation. Influence of initial condition, amplitude of fluctuation, and time correlation of frequency noise upon time dependence of the moment is pointed out theoretically and actual calculation is done by a computer simulation. It, is found from the simulation, for example, that time correlated frequency model introduced in this paper suppresses divergence of second moment.


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