Introducing randomness into first-order and second-order deterministic differential equations

DOI10.1155/2010/509326MaRDI QIDQ606157zbMATH OpenOpenAlexWikidataFDO

Authors John F. Moxnes, Kjell Hausken

Publication date 16 November 2010

Published in Advances in Mathematical Physics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://eudml.org/doc/227694

zbMATH Keywords

deterministic linear friction forceLiouville processOrnstein-Uhlenbeck processstochastic force

Mathematics Subject Classification ID

Ordinary differential equations and systems with randomness (34F05) PDEs with randomness, stochastic partial differential equations (35R60) Stochastic analysis (60H99)

Review text

Summary: We incorporate randomness into deterministic theories and compare analytically and numerically some well-known stochastic theories: the Liouville process, the Ornstein-Uhlenbeck process, and a process that is Gaussian and exponentially time correlated (Ornstein-Uhlenbeck noise). Different methods of achieving the marginal densities for correlated and uncorrelated noise are discussed. Analytical results are presented for a deterministic linear friction force and a stochastic force that is uncorrelated or exponentially correlated.

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