Probabilistic dynamics of some jump-diffusion systems.
Publication
, Journal Article
Daly, E; Porporato, A
Published in: Physical review. E, Statistical, nonlinear, and soft matter physics
February 2006
Some exact solutions to the forward Chapman-Kolmogorov equation are derived for processes driven by both Gaussian and compound Poisson (shot) noise. The combined action of these two forms of white noise is analyzed in transient and equilibrium conditions for different jump distributions and additive Gaussian noise. Steady-state distributions with power-law tails are obtained for exponentially distributed jumps and multiplicative linear Gaussian noise. Two applications are discussed: namely, the virtual waiting-time or Takàcs process including Gaussian oscillations and a simplified model of soil moisture dynamics, in which rainfall is modeled as a compound Poisson process and fluctuations in potential evapotranspiration are Gaussian.
Duke Scholars
Published In
Physical review. E, Statistical, nonlinear, and soft matter physics
DOI
EISSN
1550-2376
ISSN
1539-3755
Publication Date
February 2006
Volume
73
Issue
2 Pt 2
Start / End Page
026108
Related Subject Headings
- Fluids & Plasmas
- 09 Engineering
- 02 Physical Sciences
- 01 Mathematical Sciences
Citation
APA
Chicago
ICMJE
MLA
NLM
Daly, E., & Porporato, A. (2006). Probabilistic dynamics of some jump-diffusion systems. Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics, 73(2 Pt 2), 026108. https://doi.org/10.1103/physreve.73.026108
Daly, Edoardo, and Amilcare Porporato. “Probabilistic dynamics of some jump-diffusion systems.” Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics 73, no. 2 Pt 2 (February 2006): 026108. https://doi.org/10.1103/physreve.73.026108.
Daly E, Porporato A. Probabilistic dynamics of some jump-diffusion systems. Physical review E, Statistical, nonlinear, and soft matter physics. 2006 Feb;73(2 Pt 2):026108.
Daly, Edoardo, and Amilcare Porporato. “Probabilistic dynamics of some jump-diffusion systems.” Physical Review. E, Statistical, Nonlinear, and Soft Matter Physics, vol. 73, no. 2 Pt 2, Feb. 2006, p. 026108. Epmc, doi:10.1103/physreve.73.026108.
Daly E, Porporato A. Probabilistic dynamics of some jump-diffusion systems. Physical review E, Statistical, nonlinear, and soft matter physics. 2006 Feb;73(2 Pt 2):026108.
Published In
Physical review. E, Statistical, nonlinear, and soft matter physics
DOI
EISSN
1550-2376
ISSN
1539-3755
Publication Date
February 2006
Volume
73
Issue
2 Pt 2
Start / End Page
026108
Related Subject Headings
- Fluids & Plasmas
- 09 Engineering
- 02 Physical Sciences
- 01 Mathematical Sciences