scientific article; zbMATH DE number 15835

MaRDI QIDQ3972487zbMATH OpenFDO

Authors Ronald F. Fox

Publication date 25 June 1992

zbMATH Keywords

simulationfirst passage timequadratic potentialcharacterizing coloured diffusion

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Other physical applications of random processes (60K40)

Recommendations

• Numerical simulations of stochastic differential equations
• Stochastic differential equations describing systems with coloured noise
• Colored Noise in Dynamical Systems
• Approximate stationary solution and stochastic stability for a class of differential equations with parametric colored noise
• Numerical solution of differential equations with colored noise

Cited in

(4)

• scientific article; zbMATH DE number 1425336 (Why is no real title available?)
• Accurate Monte Carlo tests of the stochastic Ginzburg-Landau model with multiplicative colored noise
• Stochastic differential equations describing systems with coloured noise
• Effective Markovian approximation for non-Gaussian noises: A path integral approach

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