Harmonic oscillator under Lévy noise: unexpected properties in the phase space

Phys Rev E Stat Nonlin Soft Matter Phys. 2011 Apr;83(4 Pt 1):041118. doi: 10.1103/PhysRevE.83.041118. Epub 2011 Apr 19.

Abstract

A harmonic oscillator under the influence of noise is a basic model of various physical phenomena. Under Gaussian white noise the position and velocity of the oscillator are independent random variables which are distributed according to the bivariate Gaussian distribution with elliptic level lines. The distribution of phase is homogeneous. None of these properties hold in the general Lévy case. Thus, the level lines of the joint probability density are not elliptic. The coordinate and the velocity of the oscillator are strongly dependent, and this dependence is quantified by introducing the corresponding parameter ("width deficit"). The distribution of the phase is inhomogeneous and highly nontrivial.