Generalized Fokker-Planck equations for coloured multiplicative Gaussian noise

MaRDI QIDQ5170337zbMATH OpenFDO

Authors A. M. Cetto, L. De La Peña, R. M. Velasco

Publication date 23 July 2014

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods applied to problems in equilibrium statistical mechanics (82B31)

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(4)

• A systematic path to non-Markovian dynamics: new response probability density function evolution equations under Gaussian coloured noise excitation
• The projection operator approach to the Fokker-Planck equation. II: Dichotomic and nonlinear Gaussian noise.
• The projection approach to the Fokker-Planck equation. I: Colored Gaussian noise.
• Path integral solution of the system with coloured multiplicative noise

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