Probability Density and Joint Probability Density of SDE with General Nonlinear Gaussian Noise |
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| Authors: | LIU Zhong-hua CHEN Li-hua ZHU You-xing |
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| Affiliation: | Department of Physics, Central China Normal University, Wuhan 430070, China |
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| Abstract: | We consider a stochastic differential equation with a general nonlinearity in Gaussian noise; With both D (fluctuation intensity) and γ (correlation time) small quantities with D/γ < 1/10, approximate equations for the probability density p(q, t) and the joint probability density p(q, t, qt, tp) are derived. As applications of our general equations, quadratic noise, exponential noise and triangle function noise are studied. |
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