Harmonic oscillator under Levy noise: Unexpected properties in the phase space

Igor M. Sokolov, Bartlomiej Dybiec, Werner Ebelling

Published 2010-10-13, updated 2011-02-22Version 2

A harmonic oscillator under influence of the 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 L\'evy 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.