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4 questions
0votes
0answers
26views
Characterization of Markovianity, Gaussianity, and color for noise processes
Consider a noise process $\xi(t)$ that has some statistics in time. There are various ways to characterize such a process, 3 being Markovianity (independence from history), Gaussianity (Gaussian ...
4votes
3answers
302views
Are stationarity, Markovianity and Gaussianity sufficient conditions to ensure that the random force on a Brownian particle is delta correlated?
In the Langevin model, if we make the assumption that the random force $\eta(t)$ acting on the Brownian particle is a stationary, Markovian, and gaussian process, does it automatically ensure that the ...
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1vote
1answer
150views
Dirac delta correlated white noise 3 time points [closed]
If I know that there is a noise which is delta correlated that is $\langle f(t)f(t') \rangle =\delta(t-t')$, can I say something about $\langle f(t)f(t')f(t'') \rangle $?
16votes
1answer
3kviews
Relation between Langevin and Fokker-Planck for exponentially correlated noise
What is the corresponding Fokker-Planck equation for, $\frac{df(t)}{dt}=-kf(t)+\zeta(t)$ where, $\zeta(t)$ is random noise? In particular, how will the Fokker-Planck equation look if $\zeta(t)$ is ...
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