奥坦乌伦贝克过程.pdf

Ornstein-Uhlenbeck Process •If the Wiener process is used to model Brownian motion, i.e., is chosen as a stochastic process to represent the position of the Brownian particle, then the instantaneous velocity is not defined in this model. It is infinite. •The Ornstein-Uhlenbeck process is then proposed by integration and not given any more by the Wiener process. Perpetual Kicks of the Surrounding Fluid Molecules This model is the position of: the acting on the suspended particle into a systematic part, the friction and into a random part due to the perpetual kicks of the surrounding fluid molecules: Ft is the sum of many t infinitesimally small contributions. We assume it therefore to be Gaussian distributed in the light of the central limit theorem. Furthermore, it is usible to assume that Ft has mean value zero. Times of Wiener process Leaky Potential Model In leaky circuits, the potential dynamics is composed of: • a leaky term: gL(Vr-V), and •the contribution from a large number of e trains. CdV g (V − V )dt + c dN L r j j Ito Diffusion dV [−LV + I ]dt + dBt exp(Lt) V + L exp(Lt) Vdt exp(Lt)Idt +  exp( B I d (exp(Lt) V) d (exp(Lt)) + exp(Lt)dB L Solution I V(t) V exp(−Lt) + [1− exp(−Lt)] 0 L t V(0) V 0 +  exp(L (s − t))dB