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Perturbation Theory for a Stochastic Process with Ornstein-Uhlenbeck Noise

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Abstract

The Ornstein-Uhlenbeck process may be used to generate a noise signal with a finite correlation time. If a one-dimensional stochastic process is driven by such a noise source, it may be analysed by solving a Fokker-Planck equation in two dimensions. In the case of motion in the vicinity of an attractive fixed point, it is shown how the solution of this equation can be developed as a power series. The coefficients are determined exactly by using algebraic properties of a system of annihilation and creation operators.

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Authors and Affiliations

  1. Department of Mathematics and Statistics, The Open University, Walton Hall, Milton Keynes, MK7 6AA, England

    Michael Wilkinson

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  1. Michael Wilkinson
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Correspondence to Michael Wilkinson.

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Wilkinson, M. Perturbation Theory for a Stochastic Process with Ornstein-Uhlenbeck Noise. J Stat Phys 139, 345–353 (2010). https://doi.org/10.1007/s10955-010-9944-5

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  • DOI: https://doi.org/10.1007/s10955-010-9944-5

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