Impact of Correlated Noises on Additive Dynamical Systems

Abstract EN

Impact of correlated noises on dynamical systems is investigated by considering Fokker-Planck type equations under the fractional white noise measure, which correspond to stochastic differential equations driven by fractional Brownian motions with the Hurst parameter H > 1 / 2 .

Firstly, by constructing the fractional white noise framework, one small noise limit theorem is proved, which provides an estimate for the deviation of random solution orbits from the corresponding deterministic orbits.

Secondly, numerical experiments are conducted to examine the probability density evolutions of two special dynamical systems, as the Hurst parameter H varies.

Certain behaviors of the probability density functions are observed.