A solution of the ornstein-uhlenbeck equation

We describe a solution to the Ornstein-Uhlenbeck equation $$_{dt}{dI} - _\tau 1 I(t) = cV(t)$$ whereV(t) is a constant multiple of a Gaussian white noise. Our solution is based on a discrete set of Gaussian white noise obtained by taking sample points from a sum of single frequency harmonics that ha...

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Veröffentlicht in:Journal of applied mathematics & computing 2006-01, Vol.20 (1-2), p.445-454
Hauptverfasser: Moon, Byung Soo, Thompson, Russel C
Format: Artikel
Sprache:eng
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Zusammenfassung:We describe a solution to the Ornstein-Uhlenbeck equation $$_{dt}{dI} - _\tau 1 I(t) = cV(t)$$ whereV(t) is a constant multiple of a Gaussian white noise. Our solution is based on a discrete set of Gaussian white noise obtained by taking sample points from a sum of single frequency harmonics that have random amplitudes, random frequencies, and random phases. Hence, it is different from the solution by the standard random walk using random numbers generated by the Box-Mueller algorithm. We prove that the power of the signal has the additive property, from which we derive that the Lyapunov characteristic exponent for our solution is positive. This compares with the solution by other methods where the noise is kept to be in an error range so that its Lyapunov exponent is negative.
ISSN:1598-5865
1865-2085
DOI:10.1007/BF02831951