Non-random functions and solutions of Langevin-type stochastic differential equations

MaRDI QIDQ4635442zbMATHFDO

Authors E. V. Karachanskaya, A. P. Petrova

Publication date 20 April 2018

Full work available at URL http://mathnet.ru/eng/svfu/v23/i3/p55

zbMATH Keywords

stochastic differential equationBrownian motionanalytical solutionLangevin-type equationItô's formuladeterministic modulus in square for velocity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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(4)

• PECULIARITIES OF THE DYNAMICS OF A BROWNIAN PARTICLE WITH RANDOM DISTURBANCES ORTHOGONAL TO ITS SPEED
• Solution of the characteristic equation for some nonclassical diffusion model
• A new analytic solution of complex Langevin differential equations
• Computation and simulation of Langevin stochastic differential equation

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