A systematic path to non-Markovian dynamics: new response probability density function evolution equations under Gaussian coloured noise excitation

DOI10.1098/rspa.2018.0837zbMath1472.60107arXiv1811.12383OpenAlexW3105179258WikidataQ127745311 ScholiaQ127745311MaRDI QIDQ5160681

K. I. Mamis, Z. G. Kapelonis, Gerassimos A. Athanassoulis

Publication date: 29 October 2021

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.12383

zbMATH Keywords

differential equationsmathematical physicsuncertainty quantificationrandom differential equationapplied mathematicsNovikov-Furutsu theoremcoloured noise excitationHänggi's ansatzVolterra-Taylor expansion

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Random operators and equations (aspects of stochastic analysis) (60H25)

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About the optimal FPE for non-linear 1D-SDE with Gaussian noise: the pitfall of the perturbative approach

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