Stochastic Differential Equations
This is a brief introduction to Langevin equations (stochastic differential equations (SDE) with white noise terms)[1–3], with particular emphasis on its use as a calculational tool. We also discuss recently developed (matrix) continued fraction methods for solving certain types of stochastic differential equations and their associated Fokker-Planck equation [4–6].
KeywordsStochastic Differential Equation Wiener Process Langevin Equation Fokker Planck Equation Stochastic Differential Equation
Unable to display preview. Download preview PDF.
- 2.I.I. Grihman and A.V. Skorokod, Stochastic Differential Equations (Springer, Berlin, Heidelberg, New York, 1972).Google Scholar
- 4.H. Risken, The Fokker-Planck-Equation (Springer, in press).Google Scholar
- 9.H. Haken, Laser Theory, Encyclopedia of Physics XXV/2c, eds. S. Flügge and L. Genzel (Springer, New York, 1970).Google Scholar
- 10.J.M. Sancho, M. San Miguel, S.L. Katz and J.D. Gunton, Phys. Rev. A (1982) 1589,and references cited.Google Scholar
- 11.H.G. Van Kampen, Stochastic Process in Physics and Chemistry (North-Holland, Amsterdam, 1981).Google Scholar
- 14.D.F. Walls, Nature, in press.Google Scholar