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

引用

页数：4

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