Simple treatment of correlated multiplicative and additive noises

M. Gitterman

Research output: Contribution to journalArticlepeer-review

18 Scopus citations


Two simple rules are derived for obtaining the solution of a problem with correlated multiplicative and additive noise in terms of the results for systems with non-correlated noise. It is shown that the mean free passage time decreases as the correlation time increases, and its influence becomes important for not-too-small correlation times.

Original languageEnglish
Pages (from-to)L293-L297
JournalJournal of Physics A: Mathematical and General
Issue number27
StatePublished - 9 Jul 1999


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