Multivariate stochastic processes with exponentially correlated broadband noise
- 1 July 1985
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review A
- Vol. 32 (1), 596-605
- https://doi.org/10.1103/physreva.32.596
Abstract
Conditions are derived under which the steady-state probability density of a multivariate stochastic process, driven by exponentially correlated broadband noise, can be obtained in an analytical form, provided the steady-state density of the corresponding white-noise process is known explicitly. The general results are illustrated by three examples: optical bistability, a laser model with detuning, and a model of Brownian motion.Keywords
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