Langevin-like equation with colored noise

DOI10.1007/BF01044716zbMath0713.60072OpenAlexW2159988234MaRDI QIDQ750008

N. G. van Kampen

Publication date: 1989

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01044716

zbMATH Keywords

stochastic differential equationFokker-Planck equationhigher order corrections

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (4)

Langevin equation of big structure dynamics in turbulence: Landau's invariant in the decay of homogeneous isotropic turbulence ⋮ Statistical descriptions of polydisperse turbulent two-phase flows ⋮ Weak noise expansions through functional integrals for colored noise ⋮ Fluctuation–dissipation relations in the absence of detailed balance: formalism and applications to active matter

Cites Work

• Unnamed Item
• On the theory of optimal control. Sufficient coordinates
• On differential operators and boundary conditions
• Classical Noise IV: Langevin Methods
• On the Theory of the Brownian Motion II

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