Summary: Supplementary Material
Hideyuki Câteau and Alex Reyes
Derivation of the two dimensional Fokker-Planck equation and
numerical algorithm to integrate it
A set of Langevin equations accounting for the non-trivial autocorrelation is given as
( )( , ) ( ) ( ) ,
( ).neg
du
a u R b R w t X
dt
dX
X w t
dt


= + -

= - +

Note that the same white noise, ( )w t , appears both in u- and X-equations. For a later

Source: Andrzejak, Ralph Gregor - Departament de Tecnologia, Universitat Pompeu Fabra

Collections: Computer Technologies and Information Sciences