Anomalous diffusion for overdamped particles driven by cross-correlated white noise sources

  • We study the statistical properties of overdamped particles driven by two cross-correlated multiplicative Gaussian white noises in a time-dependent environment. Using the Langevin and Fokker-Planck approaches, we derive the exact probability distribution function for the particle positions, calculate its moments and find their corresponding long-time, asymptotic behaviors. The generally anomalous diffusive regimes of the particles are classified, and their dependence on the friction coefficient and the characteristics of the noises is analyzed in detail. The asymptotic predictions are confirmed by exact solutions for two examples.

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Author:Stanislav I. Denisov, Andrei N. Vitrenko, Werner Horsthemke, Peter HänggiORCiDGND
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Publishing Institution:Universität Augsburg
Release Date:2006/08/31
Tag:Gaussian noise; white noise; diffusion; Fokker-Planck equation; probability; friction
GND-Keyword:Gaußsches Rauschen; Weißes Rauschen; Fokker-Planck-Prozess; Diffusion
Source:erschienen in: Phys. Rev. E 73, 046104 (2006); DOI: 10.1103/PhysRevE.73.036120; URL:
Institutes:Mathematisch-Naturwissenschaftlich-Technische Fakultät
Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Physik
Mathematisch-Naturwissenschaftlich-Technische Fakultät / Institut für Physik / Lehrstuhl für Theoretische Physik I
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 53 Physik / 530 Physik