- Autor(in)
- Referenz
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10 K. Lindenberg, J. Masoliver, B. West, Phys. Rev. A 34 (1986) 1481
11 K. Lindenberg, J. Masoliver, B. West, Phys. Rev. A 34 (1986) 2351
12 N. G. van Kampen, private communication
13 J. L. Doob, Annals of Math. 43 (1942) 351,
14 M. Kuś, E. Wajnryb, K. Wódkiewicz, Phys. Rev. A 42 (1990) 7500
15 M. Kuś, E. Wajnryb, K. Wódkiewicz, Phys. Rev. A 43 (1991) 4167
16 S. Karlin, H. Taylor, A First Course in Stochastic Processes, 2nd Ed., Academic Press 1975, San Diego
17 S. Karlin, H. Taylor, A Second Course in Stochastic Processes, 2nd Ed., Academic Press 1975, San Diego
18 D. T. Gillespie, Journal of Computional Physics 22 (1976) 403
19 D. T. Gillespie, Journal of Computional Physics 28 (1978) 395
1 P. Jung, H. Risken, Z. Phys. B - condensed Matter 61 (1985) 367
20 N. G. van Kampen, Stochastic Processes in Physics and Chemistry, 5th Ed., North-Holland Physics Publishing, Amsterdam (1987), p. 203
21 C. R. Doering, P. S. Hagan, C. D. Levermore, Phys. Rev. Lett. 59 (1987) 2129
22 R. F. Fox, Phys. Rev. A 33 (1986) 467
23 K. Lindenberg, J. Masoliver, B. West, Phys. Rev. A 35 (1987) 3086
24 R. Manella, V. Palleschi, Phys. Lett. A 129 (1988) 317
2 J. M. Sancho, M. San Miguel, S. L. Katz, J. D. Gunton, Phys. Rev. A 26 (1982) 1589
3 R. F. Fox, Phys. Rev. A 34 (1986) 4525
4 P. Hänggi in: F. Moss, P. McClintock, Noise in nonlinear dynamic systems, vol. 1, Cambridge University Press, Cambridge 1989, p. 307 - 348
5 F. Moss, P. McClintock, Noise in nonlinear dynamic systems, vol. 1 - 3, Cambridge University Press, Cambridge 1989
6 Klyatsin, Radiophys. Quantum Electron 20 (1977) 382
7 H. Horsthemke, R. Lefever, Noise-Induced Transitions. Springer-Verlag, Berlin 1984
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9 K. Lindenberg in: F. Moss, P. McClintock, Noise in nonlinear dynamic systems, vol. 1, Cambridge University Press, Cambridge 1989, p. 110 - 160
reprinted in: N. Wax (ed.): Selected papers on noise and stochastic processes, Dover Publications, Inc., New York 1954, p. 319
- Seitenbereich
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0092 - 0104
- Schlagwort(e)
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<KWD>Monte Carlo simulation
Coloured noise
Double well potential
Mean first passage time
Minimal process method
Ornstein-Uhlenbeck process
Random telegraph process
- Zusammenfsg.
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We present a Monte Carlo simulation algorithm for evaluating the stationary probability and the mean and the variance of first passage times in any dynamical system under the influence of additive coloured Gaussian and Marcovian noise (Ornstein-Uhlenbeck process). Our algorithm generates the Ornstein-Uhlenbeck process by a superposition of a finite number of random telegraph processes. We obtain our results from a direct evaluation of the trajectories. We apply our method to the overdamped motion of a particle in a double well potential. We compare our simulation results with various analytic approximations for the stationary probability and the mean first passage times.
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- Forschungsartikel