Non-Markovian stochastic processes: colored noise. (English) Zbl 1080.82018
Summary: We survey classical non-Markovian processes driven by thermal equilibrium or nonequilibrium (nonthermal) colored noise. Examples of colored noise are presented. For processes driven by thermal equilibrium noise, the fluctuation-dissipation relation holds. In consequence, the system has to be described by a generalized (integro-differential) Langevin equation with a restriction on the damping integral kernel: Its form depends on the correlation function of noise. For processes driven by nonequilibrium noise, there is no such a restriction: They are considered to be described by stochastic differential (Ito- or Langevin-type) equations with an independent noise term. For the latter, we review methods of analysis of one-dimensional systems driven by Ornstein-Uhlenbeck noise.
MSC:
| 82C31 | Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics |
| 60H15 | Stochastic partial differential equations (aspects of stochastic analysis) |
| 60H30 | Applications of stochastic analysis (to PDEs, etc.) |
| 82-02 | Research exposition (monographs, survey articles) pertaining to statistical mechanics |
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