On the linearization of nonlinear Langevin-type stochastic differential equations
type: Item
instance of: scholarly article
title: On the linearization of nonlinear Langevin-type stochastic differential equations
zbMATH Open document ID: 0587.60047
DOI: 10.1007/BF01009680
author: M. C. Valsakumar
author: K. P. N. Murthy
author: G. Ananthakrishna
published in: Journal of Statistical Physics
publication date: 1983-01-01T00:00:00Z
review text: We show that a logical extension of the piecewise optimal linearization procedure leads to the Gaussian decoupling scheme, where no iteration is required. The scheme is equivalent to solving a few coupled equations. The method is applied to models which represent (a) a single steady state, (b) passage from an initial unstable state to a final preferred stable state by virtue of a finite displacement from the unstable state, and (c) a bivariate case of passage from an unstable state to a final stable state. The results are shown to be in very good agreement with the Monte Carlo calculations carried out for these cases. The method should be of much value in multidimensional cases.
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 81P20
zbMATH DE Number: 3942632
zbMATH Keywords: nonlinear Langevin equation
zbMATH Keywords: piecewise optimal linearization
zbMATH Keywords: Gaussian decoupling scheme
zbMATH Keywords: Monte Carlo calculations
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1007/bf01009680
OpenAlex ID: W1972433503
description: scientific article; zbMATH DE number 3942632