Abstract
We study the role that the cross-correlation of noises plays in the statistical behavior of systems driven by two multiplicative Gaussian white noises. The temporal evolution of the system is described by a Langevin equation, for which we adopt a general interpretation that includes the Ito as well as the Stratonovich interpretation. We derive the stochastically equivalent Fokker-Planck equation by means of the two-stage averaging of a state-dependent function. Analyzing the stationary solution of the Fokker-Planck equation for specific examples, we show explicitly that the cross-correlation of white noises can induce nonequilibrium transitions.
- Received 6 August 2003
DOI:https://doi.org/10.1103/PhysRevE.68.046132
©2003 American Physical Society