NDLI: Long Asymptotic Correlation Time for Non-Linear Autonomous Itô's Stochastic Differential Equation

Content Provider	Springer Nature Link
Author	Mamontov, Yevgeny V. Willander, Magnus
Copyright Year	1997
Abstract	Itô's stochastic differential equations theory is a common approach to analysis of stochastic phenomena in various systems. In many applications, an important feature of the systems is the flicker effect. It is well known that it cannot be described with linear autonomous scalar equations of the above kind. The reason is that the flicker effect is usually associated with a correlation time which is much greater than the correlation time in the linear case. In the present work, we discuss modelling of the long correlation time with the help of non-linear autonomous scalar Itô's stochastic differential equation which includes non-linear drift. The expression for the asymptotic correlation time as time separation tends to zero is derived in terms of the equation. We formulate the condition for this time to be long in the above sense. It is pointed out that this condition can hold if the nonlinear damping is reduced compared to the linear case. These results are illustrated with an example of the equation with non-linear drift of a specific form.
Starting Page	399
Ending Page	411
Page Count	13
File Format	PDF
ISSN	0924090X
Journal	Nonlinear Dynamics
Volume Number	12
Issue Number	4
e-ISSN	1573269X
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	1997-01-01
Publisher Place	Dordrecht
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Mechanics Vibration, Dynamical Systems, Control Mechanical Engineering Automotive and Aerospace Engineering, Traffic
Content Type	Text
Resource Type	Article
Subject	Ocean Engineering Applied Mathematics Control and Systems Engineering Mechanical Engineering Electrical and Electronic Engineering Aerospace Engineering

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