Numerical method for solving stochastic differential equations with Poissonian white shot noise

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dc.contributor.authorKim, Cko
dc.contributor.authorLee, Eok Kyunko
dc.contributor.authorHanggi, Pko
dc.contributor.authorTalkner, Pko
dc.date.accessioned2013-03-07T07:53:57Z-
dc.date.available2013-03-07T07:53:57Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2007-07-
dc.identifier.citationPHYSICAL REVIEW E, v.76, no.1, pp.3948 - 3955-
dc.identifier.issn1539-3755-
dc.identifier.urihttp://hdl.handle.net/10203/89743-
dc.description.abstractWe propose a numerical integration scheme to solve stochastic differential equations driven by Poissonian white shot noise. Our formula, which is based on an integral equation, which is equivalent to the stochastic differential equation, utilizes a discrete time approximation with fixed integration time step. We show that our integration formula approaches the Euler formula if the Poissonian noise approaches the Gaussian white noise. The accuracy and efficiency of the proposed algorithm are examined by studying the dynamics of an overdamped particle driven by Poissonian white shot noise in a spatially periodic potential. We find that the accuracy of the proposed algorithm only weakly depends on the parameters characterizing the Poissonian white shot noise; this holds true even if the limit of Gaussian white noise is approached.-
dc.languageEnglish-
dc.publisherAMER PHYSICAL SOC-
dc.subjectNON-MARKOVIAN PROCESSES-
dc.subjectFLUCTUATING PARAMETERS-
dc.subjectMASTER-EQUATIONS-
dc.subjectINDUCED TRANSPORT-
dc.subjectBROWNIAN MOTORS-
dc.subjectDRIVEN-
dc.subjectDIFFUSION-
dc.subjectSYSTEMS-
dc.subjectSTATISTICS-
dc.subjectDYNAMICS-
dc.titleNumerical method for solving stochastic differential equations with Poissonian white shot noise-
dc.typeArticle-
dc.identifier.wosid000248548900017-
dc.identifier.scopusid2-s2.0-34547144165-
dc.type.rimsART-
dc.citation.volume76-
dc.citation.issue1-
dc.citation.beginningpage3948-
dc.citation.endingpage3955-
dc.citation.publicationnamePHYSICAL REVIEW E-
dc.identifier.doi10.1103/PhysRevE.76.011109-
dc.contributor.localauthorLee, Eok Kyun-
dc.contributor.nonIdAuthorKim, C-
dc.contributor.nonIdAuthorHanggi, P-
dc.contributor.nonIdAuthorTalkner, P-
dc.type.journalArticleArticle-
dc.subject.keywordPlusNON-MARKOVIAN PROCESSES-
dc.subject.keywordPlusFLUCTUATING PARAMETERS-
dc.subject.keywordPlusMASTER-EQUATIONS-
dc.subject.keywordPlusINDUCED TRANSPORT-
dc.subject.keywordPlusBROWNIAN MOTORS-
dc.subject.keywordPlusDRIVEN-
dc.subject.keywordPlusDIFFUSION-
dc.subject.keywordPlusSYSTEMS-
dc.subject.keywordPlusSTATISTICS-
dc.subject.keywordPlusDYNAMICS-
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