Colored Noise in Dynamical Systems: Some

Exact Solutions
Peter Jung
School of Physics, Georgia Institute of Technology, Atlanta GA 30332, USA

A b s t r a c t . I consider one dimensional nonlinear systems driven by colored Gaussian noise. A framework is presented which allows for the construction of models
that can be exactly solved in terms of single variable Fokker-Planck equations. I
further discuss an exactly solvable linear model with multiplicative colored noise,
where the noise color mediates a stochastic-resonance fike behavior.
1

Introduction

The general subject of colored noise driven dynamical flows is rooted in the
study of the motion of small particles suspended in a fluid and moving under
the influence of r a n d o m forces which result from collisions with molecules
of the fluid induced by thermal fluctuations, or in short the phenomenon of
Brownian motion (Einstein 1956). In the earliest studies of Brownian motion,
the d a m p i n g of the motion of the suspended particles was very large c o m p a r e d
to that of the fluid molecules, so that inertial effects could be neglected.
Moreover, the thermal fluctuations occur on a time scale which is very much
shorter than that of the Brownian particle. It is then a good a p p r o x i m a t i o n to
assume t h a t the r a n d o m forces are uncorrelated as perceived by the particle
on its own, much slower time scale. This assumption considerably simplifies
the problem, because it allows one to treat the stochastic dynamical motions
as a Markov process for which m a n y methods and a p p r o x i m a t i o n schemes
are available. The fluctuations which can be treated under this assumption
have often been termed "white noise". Thus, white noise fluctuations ~(t),
are those for which the autocorrelation function is given by,
< ~(t)~(s) > = 2D~(t - s),

(1)

with the noise intensity D. A large body of literature on white noise applications exists, and appropriate starting points are the now classic reviews of
Chandrasekhar, Uhlenbeck and Ornstein, and others in the collection of Wax
(1954), the texts by Stratonovich (1963), van K a m p e n (1992), Risken (1984)
and Horsthemke and Lefever (1984) or the reports by Hnggi and T h o m a s
(1982), and Fox (1978).
In the physical world this idealization, however, is sometimes not justified.
For example, the photon statistics of a dye-laser (Zhou et al. 1986) and the
motional narrowing of magnetic resonance lineshapes (Kubo 1962) are considerably affected by the finite correlation time of fluctuations. It has become

24

Peter Jung

customary to study colored noise driven systems 1 in terms of a Langevin

equation

= h(x) + g(x)~(t),

(2)

where x is the observable of interest, and h(x) and g(x) are continuous differentiable functions. The no~se ~(t) is considered stationary and Gaussian
distributed with zero mean and correlation function

< ~(t)~(s) > = ~(t - s).

(3)

The spectral density, given by the Fourier-transform of the correlation function is frequency dependent, hence the term colored noise.
In m a n y studies (for a recent review, see (Hnggi and J u n g 1995)), an
exponential correlation function ~(s) = (D/To)exp(--N/rc ) has been used,
with r~ describing the time-scale of the fluctuations and D/T its variance.
The power spectrum is given by a Lorentzian with corner-frequency 1/T~. For
this Ornstein- Uhlenbeck noise, the white-noise limit is recovered by decreasing
the correlation-time r~ and leaving D constant. While Ornstein-Uhlenbeck
noise is generated by applying white noise to a first order linear filter with
one real-valued pole of the Greens function, a whole class of other Gaussian
noise sources can be constructed by applying white noise to linear filters of all
orders with complex-valued poles of the Greens functions. Another example
is the so called harmonic noise (Schimansky-Geier and Zfilicke 1990) where
the Greens function of the filter has two complex conjugate poles.
In section 2 we derive exact equations of motions of the Fokker-Planck
type for the probability density P(x, t) corresponding to the Langevin equation(2)
for a specified class of functions g(x) and h(x). In section 3, we discuss some
of these exactly solvable models explicitly. In section 4, we consider a linear
model, driven by multiplicative colored noise and periodic forcing, which is
exactly solvable and shows noise-color induced stochastic resonance.

Equation of motion for the probability density

Starting from (1), the stochastic Liouville equation for the density p(x, t) =
5(x - x[r(t)]), where x[r(t)] is the solution of (1) with r(t) being a realization
of the noise source ~(t), can be obtained as

h~ (x, t) = (x + ~r(t)) pr (x, 0,

(4)

I One has to distinguish systems, where the randomness of the observable of interest results from the interaction with a large number of other intrinsic degrees of
freedom (internal noise) and systems which are driven by noise, e.g. by a noisy
parameter (external noise).

Colored Noise in Dynamical Systems

25

with the operators

.A = - ~ h ( x )
0

(5)

In the interaction-picture, i.e.

Pr (x, t)

--= exp(-.At)p~ (x, t),

(6)

the equation of motion simplifies to

[9~(x, t) = r(t)w(t)p~(x, t)
Lw (t) = e x p ( - A t ) u exp(t),

(7)

with the formal solution

pr(x,t)

= Texp

[/0 r(t')Ew(t')dt' ] p~(x,O),

(8)

where 7- is the backward chronological operator. In the next step we have to

average over realizations of the noise r(t). Since p~(x, 0) in general cannot be
factorized out of the average, it is clear that a closed equation of motion for
the average P(x,t) - (p~(x,t))~ cannot be derived in general from Eq.(8).
For the specific initial condition P(x, O) = 5(x - xo), however, the average
factorizes. For a general initial condition, we can still factorize the average
for times larger than the correlation time of the noise. Taking the average
over all realizations r(t) and factorizing yields the result

P(x,t) = (p~(x,t)}~

= T(exp

[L r(t').w(t')dt' ]

),.P(x,0).

(9)

The expression in the bracket can be evaluated exactly, if the time-evolution

operator commutes at arbitrary times t and t ~, i.e.
[/:~(t), w ( t ' ) ] -

w(t)E~(t') -~(t')~(t) - O.

(10)

Using the condition (10), Eq.(3), and the Gaussian properties of the noise,
Eq.(9) can be written as

P(x,t)=exp{l

ffot fotw(tl)w(t~)(tl-t2)dtldt2}

P(x,O).

(11)

Taking the time derivative, we obtain the equation of motion in the interactionpicture

ig(x,t) = w(t)

/o dt'~(t')O(t -t')P(x,t).

(12)

26

Peter Jung

In the original representation p(x,t) = exp(.At)P(x, t), one obtains the

equation of motion

~(x,t) = .Ap(x,t) + 13

~0t dt' exp(At')/3exp(-.At')(t')p(x,t).

(13)

Some comments on this Fokker-Planck equation are in order:

1. It is exact only for initial conditions of the type P(x, O) = 5(x - xo)
2. The second term depends via the lower integration limit e x p l i c i t l y on
the initial time to = 0, a hint that we are dealing with a non-Markovian
process. For times t large against the correlation time of the noise, this
dependence will disappear.
3. In the white noise limit, i.e. (t) = 2Da(t), the standard Fokker-Planck
equation is recovered.
To construct exactly solvable models with colored noise, we have to find
functions h(x) and g(x) such, that the condition (10) is fulfilled. Here, the
Baker-Haussdorf relation
exp(At)/3 e x p ( - A t ) = / 3 + [A,/3]t + I[A, [.4, B]]t 2 + ...

(14)

will be particularly useful.

E x a c t l y solvable models

In this section we discuss how one can use the results of the preceding section to construct exactly solvable models. An exactly solvable model in my
notation is a model where the time evolution of the variable x is described by
a single variable Fokker-Planck equation. Although, one cannot find in general explicit time-dependent solutions for such an equation, the stationary
probability density and moments can be computed.
3.1

Transformations

to linear systems

The most simple way to fulfill (10) is to require that the operators A a n d / 3
are commuting, i.e. [A,/3] = 0. Then, the equation of motion (13) becomes

~(x,t) = Ap(x,t) +/32

dt'(t')p(x,t),

(15)

which is identical to the usual Fokker-Planck equation, but with a time dependent diffusion coefficient. In order that the operators .4 a n d / 3 commute,
the functions h(x) and g(z) have to fulfill the ordinary differential equation

Colored Noise in Dynamical Systems

27

h ( x ) g ' ( x ) - g(x)h'(x) = 0. The solution h(x) = cg(x) with the arbitrary

constant c suggests the simple coordinate transform
X

y= c

1/h(x')dx' - ct,

(16)

to the linear Langevin equation ~) = ~(t), which describes a free p a r t i c l e

driven by colored Gaussian noise. The requirement of commuting operators
.4 and t3 has thus lead us to a class of exactly solvable models which can
be transformed to a linear model. The Hongler-models (see e.g. (Horsthemke
and Lefever 1984)) are a more general class of such systems.

3.2

Exactly solvable nonlinear s y s t e m s

More interesting exactly solvable models which cannot be transformed to a

linear process can be found by requiring

[..4, 13] = aB,

(17)

where ol is an arbitrary constant. Using the Baker-Hausdorff relation (14), the

evolution operator in the interaction picture can be brought to the simpler
form
Zw (t) = exp(--`4t)B exp(`4t) = B e x p ( - c d ) .
(18)
which fulfills- as required- the commutation-relation [w (t), :w (t~)] = 0 for
all times t and tq The equation of motion for the probability density becomes

t) = .4p(x, t) + 132

at'

t),

(19)

which is again of the Fokker-Planck type with a time dependent diffusion

coefficient. The condition (17) requires that the functions g(x) and h(x) obey
the ordinary differential equation h(x)g'(x) - g ( x ) h ' ( x ) = - ~ g ( x ) . For the
specific choice g(x) = 1, the solution of the differential equation for h(x) reads
h(x) = -c~x + t5 with an arbitrary constant /3. The only with our scheme
exactly solvable model with additive colored noise is the Ornstein-Uhlenbeck
process.
We can, however, construct a variety of exactly solvable multiplicative
models. For a given function h(x), the correct function g(x) which leads to a
solvable model reads

g(x) = g h ( x ) exp ((~V(x)),

(20)

where V ( x ) is the integral of (1/h(x)) and c~ and K are arbitrary constants.

For the special choice h(x) = -'),x, we find g(x) = K3,x ~/~+1. This special
exactly solvable model has been identified by Hgnggi (H/inggi 1981) by using
functional calculus.

28

Peter Jung

4
Colored noise mediated
an e x a c t s o l u t i o n

stochastic resonance:

In this section, we present a periodically driven system with multiplicative

colored noise, for which we can calculate the moments of the distribution
function exactly (Fulinsky 1995, Berdichevsky and Gitterman 1996). The
system is given by
= - ( a + ~(t))x + A sin(12t)
(21)
where we assume ~(t) to be Gaussian, colored noise with zero mean. Although
the stochastic differential equation is linear, i.e. linear superposition applies
for two solutions, the response to the colored noise and the periodic forcing is
not decomposable as in the case of a periodically driven, additive stochastic
differential equation (Jung and H/inggi 1990). This has the consequence, that
although equation (21) is linear, the amplitude of the systems response to the
periodic forcing actually depends on the intensity of the noise. Fulinsky (1995)
and Berdichevsky and Gitterman (1996) have shown that the exact solution
of (21) with colored dichotomous noise shows stochastic resonance, i.e. the
amplitude of the response to the periodic forcing as a function of the noise
intensity goes through a maximum (for a review on stochastic resonance, see
(Jung 1993)).
The solution of (21) is written as

x(t) = x(O)G(t) + A

sin(Y2t')G(t - t')dt',

(22)

with the Greens-function

G(t) = exp ( - a t -

fot~(t')dt') .

(23)

For Gaussian noise, ((t) the averages of exponentials can be carried through
yielding

(G(t)) = exp ( - a t + lcr2(t)) ,

(24)

with the variance of F(t) = f t ~(t')dt', given by

cr2(t) =

dtl

dt2(tl - t2).

(25)

The time dependent mean value (x(t)} is then written as

<x(t)) = xo(G(t)) + A

/0 t sin(~?t')(a(t

- t'))dt',

(26)

with the function (G(t - t')}, describing the response to the periodic forcing.
Note that the construction of higher moments is tedious, but straight forward.

Colored Noise in Dynamical Systems

29

Supplementing the response function (G(t)) by a Heaviside step function

O(t), i.e. R(t) _~ O(t)(G(t)), the response is described by thecomplex-valued
susceptibility R(w), given by the one-sided Fourier-transform of R(t).
To become more specific, we are choosing now exponentially correlated
noise, i.e. (t) = (D/T~)exp(-Itl/r~ ). Inserting this correlation function into
(25) yields for the variance c~2(t)

cr2(t)=2Dt+2Dr~

exp

-1

(27)

and the Greens function

(28)

(G(t)) = exp [ - ( a - D)t + DT(exp(--t/rc) -- 1)].

For D > a, the Greens function increases exponentially since the noise induced drift Dx becomes larger than the binding force - a x . We restrict ourselves to D < a, where the system approaches a steady state for large times.
The susceptibility can be written as the Fourier integral
[/(w) =

//[

exp ( D - a - i w )

( ('))]

t+Drc

exp

-~-~

-1

dt.

(29)

As mentioned in the beginning of this section, although the system is linear,

the response of the system to periodic forcing actually depends on the noise
intensity D.

4.1

The white noise limit

In the limit of white noise, i.e. Tc --+ 0, this above described mixing of external noise and periodic forcing is readily understood as the consequence of the
renormalization of the drift due to the noise induced term Dx (Horsthemke
and Lefever 1984). The response function and the susceptibility assume the
simple forms (G(t)) = exp ( - ( a - D)t) and/~o(w) = 1/(a - D + iw), respectively. For the amplitude 5 of the response to the periodic forcing, given by
the absolute value of the susceptibility at the driving frequency tg, we find
in turn
1

52(D' ~2) = (a - D) 2 + Y22"

(30)

The response amplitude increases monotonically for increasing noise strength

D until it reaches at the critical value Dc = a its m a x i m u m 1/w - the response
amplitude of a free particle.

30

Peter Jung
0.50

.+~

..+'

0.48 -

.4..+..V,..t.--F

"~''F~

,,~.;~.;~.~.~

.-F ~.~'"
0.46

0.44

ave
arc
0.42 -ave
arc
a'rc
0.40
0.0

- .....

, , ,,, ,,, B _

---.

= 0.00
= 0.05

+
~

0.i0

15]-E]

.... --..

[]~
.... ..
"" "--.

= 0.15
[]
= 1.00 . . . . . . .

"

....

0.2

0.4

0.6

0.8

1.0

D/a
F i g . 1. The response amplitude ~ is shown as a function of the noise intensity D / a
at the driving frequency .Q/a -- 2 and various values of the correlation time of
the noise arc. The curves for arc ----0,0.05,0.1 and arc ---- 0.15 have been plotted
according to the approximation (31) while the curve for a~'c = 1 has been obtained
from a numerical integration of Eq.(29).

4.2

Colored

noise and stochastic

resonance

T h e i n t e g r a l in (29) can not be e v a l u a t e d a n a l y t i c a l l y in general. For s m a l l

c o r r e l a t i o n t i m e s of t h e noise re, however, t h e e x p o n e n t i a l in (29) can be
e x p a n d e d a n d we o b t a i n in l e a d i n g o r d e r
R((2) =/~/0((2)(1 - Dye)

(31)

where f/0(w) is t h e s u s c e p t i b i l i t y in t h e w h i t e noise l i m i t , given a b o v e . T h e

r e s p o n s e a m p l i t u d e 32 (D, (2) -- (1 - D r c ) / ( ( a - 0 ) 2 + (22) shows a m a x i m u m
as f u n c t i o n of the noise s t r e n g t h a t D = a - re(2 2 in l e a d i n g o r d e r in rc.
M e a s u r i n g t h e f r e q u e n c y in u n i t s o f 1 / r e , i.e. J~ = (27c a n d t h e r e l a x a t i o n
t i m e vr - (a - D) - 1 in u n i t s of re, i.e. ~ = v~/7"c, t h e r e s o n a n c e c o n d i t i o n
c a n be w r i t t e n in t h e a p p e a l i n g f o r m
7"r = 1 / ~ 2 In F i g . l , we have p l o t t e d t h e response a m p l i t u d e a~ as a f u n c t i o n of
noise s t r e n g t h D a t ( 2 / a = 2. For s m a l l noise color ave, e.g. a r c = 0.1,
r e s p o n s e a m p l i t u d e shows a m a x i m u m a t D / a = 1 - aT-c((2/a) 2 -- 0.6. In
w h i t e noise l i m i t t h e m a x i m u m shifts t o w a r d s t h e c r i t i c a l value Dc ----a.

(32)
the
the
the
For

Colored Noise in Dynamical Systems

31

increasing correlation times arc, the maximum shifts to smaller values of the
noise strength D / a to eventually disappear.

Acknowledgments

I want to thank my friends from the Humboldt University Lutz SchimanskyGeier and Thorsten Pgschel for inviting me to write this article in occasion of
Werner Ebeling's 60th birthday and for their infinite patience in receiving my
late manuscript. This work has been supported by the Deutsche Forschungsgemeinschaft within the Heisenberg program.

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