Nonmarkovian dynamics of stochastic differential equations with quadratic noise

We consider a stochastic differential equation with a quadratic nonlinearity in the noise. We derive equations for the steady state probability density and joint probability distribution valid beyond a markovian approximation. We do not assume that the strength of the random term is small. The equations are derived for the case of an Ornstein-Uhlenbeck noise and also for a dichotomic noise. A comparison is made. We discuss some examples for which correlation functions and the associated relaxation times are calculated.