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Stochastic processes with finite correlation time: modeling and application to the generalized Langevin equation

T. Srokowski
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Abstract

The kangaroo process (KP) is characterized by various forms of the covariance and can serve as a useful model of random noises. We discuss properties of that process for the exponential, stretched exponential and algebraic (power-law) covariances. Then we apply the KP as a model of noise in the generalized Langevin equation and simulate solutions by a Monte Carlo method. Some results appear to be incompatible with requirements of the fluctuation-dissipation theorem because probability distributions change when the process is inserted into the equation. We demonstrate how one can construct a model of noise free of that difficulty. This form of the KP is especially suitable for physical applications.

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BibTeXRIS

T. Srokowski. 2001-01-10. Stochastic processes with finite correlation time: modeling and application to the generalized Langevin equation. https://doi.org/10.1103/physreve.64.031102

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