Stochastic calculus in physics |
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Authors: | Ronald F. Fox |
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Affiliation: | (1) School of Physics, Georgia Institute of Technology, 30332 Atlanta, Georgia |
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Abstract: | The relationship of the Ito-Stratonovich stochastic calculus to studies of weakly colored noise is explained. A functional calculus approach is used to obtain an effective Fokker-Planck equation for the weakly colored noise regime. In a smooth limit, this representation produces the Stratonovich version of the Ito-Stratonovich calculus for white noise. It also provides an approach to steady state behavior for strongly colored noise. Numerical simulation algorithms are explored, and a novel suggestion is made for efficient and accurate simulation of white noise equations. |
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Keywords: | Fokker-Planck equation functional calculus colored noise |
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