相关论文: Stochastic equation for a jumping process with lon…
We solve the generalized Langevin equation driven by a stochastic force with power-law autocorrelation function. A stationary Markov process has been applied as a model of the noise. However, the resulting velocity variance does not…
We consider stochastic systems involving general -- non-Gaussian and asymmetric -- stable processes. The random quantities, either a stochastic force or a waiting time in a random walk process, explicitly depend on the position. A…
Starting from the simple point process model of 1/f noise we derive a stochastic nonlinear differential equation for the signal exhibiting 1/f noise in any desirably wide range of frequency. A stochastic differential equation (the general…
Stochastic systems characterised by a random driving in a form of the general stable noise are considered. The particle experiences long rests due to the traps the density of which is position-dependent and obeys a power-law form attributed…
The generalised Langevin equation with a retarded friction and a double-well potential is solved. The random force is modelled by a multiplicative noise with long jumps. Probability density distributions converge with time to a distribution…
Fluctuation properties of the Langevin equation including a multiplicative, power-law noise and a quadratic potential are discussed. The noise has the Levy stable distribution. If this distribution is truncated, the covariance can be…
This paper deals a continuous-time state-dependent jump linear system, a particular kind of stochastic switching system. In particular, we consider a situation when the transition rate of the random jump process depends on the state…
We consider a Markovian jumping process which is defined in terms of the jump-size distribution and the waiting-time distribution with a position-dependent frequency, in the diffusion limit. We assume the power-law form for the frequency.…
The phenomena of subdiffusion are widely observed in physical and biological systems. To investigate the effects of external potentials, say, harmonic potential, linear potential, and time dependent force, we study the subdiffusion…
We present and analyze stochastic nonlinear differential equations generating signals with the power-law distributions of the signal intensity, 1/f^b noise, power-law autocorrelations and second order structural (height-height correlation)…
Stochastic systems with memory naturally appear in life science, economy, and finance. We take the modelling point of view of stochastic functional delay equations and we study these structures when the driving noises admit jumps. Our…
We propose a general framework for studying jump-diffusion systems driven by both Gaussian noise and a jump process with state-dependent intensity. Of particular natural interest are the jump locations: the system evaluated at the jump…
We use an effective Markovian description to study the long-time behaviour of a nonlinear second order Langevin equation with Gaussian noise. When dissipation is neglected, the energy of the system grows as with time a power-law with an…
This paper presents a general approach to linear stochastic processes driven by various random noises. Mathematically, such processes are described by linear stochastic differential equations of arbitrary order (the simplest non-trivial…
Starting from the developed generalized point process model of $1/f$ noise (B. Kaulakys et al, Phys. Rev. E 71 (2005) 051105; cond-mat/0504025) we derive the nonlinear stochastic differential equations for the signal exhibiting 1/f^{\beta}$…
A new vehicular traffic flow model based on a stochastic jump process in vehicle acceleration and braking is introduced. It is based on a master equation for the single car probability density in space, velocity and acceleration with an…
Statistic dynamics of financial systems is investigated, basing on a model of randomly coupled equation system driven by stochastic Langevin force. It is found that in stable regime the noise power spectrum of the system is of 1/f^alpha…
This paper introduces a novel methodology for the identification of switching dynamics for switched autoregressive linear models. Switching behavior is assumed to follow a Markov model. The system's outputs are contaminated by possibly…
Experimental data from a turbulent jet flow is analysed in terms of an additive, continuous stochastic process where the usual time variable is replaced by the scale. We show that the energy transfer through scales is well described by a…
Time estimation is a fundamental task that underpins precision measurement, global navigation systems, financial markets, and the organisation of everyday life. Many biological processes also depend on time estimation by nanoscale clocks,…