A solution of the Ornstein-Uhlenbeck equation

DOI10.1007/BF02831951zbMath1085.60060OpenAlexW2090992490MaRDI QIDQ816021

N. E. Zubov

Publication date: 20 February 2006

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02831951

zbMATH Keywords

Gaussian white noiseLyapunov exponentJohnson noiseOrnstein-Uhlenbeck equationrandom signal

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

• The generalized Ornstein - Uhlenbeck process
• Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises

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