Probability Density Function Method for Langevin Equations with Colored Noise

被引：27
|
作者：
Wang, Peng [1 ]
Tartakovsky, Alexandre M. [1 ]
Tartakovsky, Daniel M. [2 ]
机构：
[1] Pacific NW Natl Lab, Richland, WA 99352 USA
[2] Univ Calif San Diego, La Jolla, CA 92093 USA
来源：
PHYSICAL REVIEW LETTERS | 2013年 / 110卷 / 14期
关键词：
APPROXIMATION;
D O I：
10.1103/PhysRevLett.110.140602
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
Understanding the mesoscopic behavior of dynamical systems described by Langevin equations with colored noise is a fundamental challenge in a variety of fields. We propose a new approach to derive closed-form equations for joint and marginal probability density functions of state variables. This approach is based on a so-called large-eddy-diffusivity closure and can be used to model a wide class of non-Markovian processes described by the noise with an arbitrary correlation function. We demonstrate the accuracy of the proposed probability density function method for several linear and nonlinear Langevin equations. DOI: 10.1103/PhysRevLett.110.140602
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页数：4
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