Stochastic calculus in physics
Journal Article
·
· J. Stat. Phys.; (United States)
The relationship of Ito-Stratonovich stochastic calculus to studies of weakly colored noise is explained. A functional calculus approach is used to obtain an effective Fokker-Planck equation for the weakly colored noise regime. In a smooth limit, this representation produces the Stratonovich version of the Ito-Stratonovich calculus for white noise. It also provides an approach to steady state behavior for strongly colored noise. Numerical simulation algorithms are explored, and a novel suggestion is made for efficient and accurate simulation of white noise equations.
- Research Organization:
- Georgia Institute of Technology, Atlanta
- OSTI ID:
- 6453699
- Journal Information:
- J. Stat. Phys.; (United States), Journal Name: J. Stat. Phys.; (United States) Vol. 46:5/6; ISSN JSTPB
- Country of Publication:
- United States
- Language:
- English
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Related Subjects
657002* -- Theoretical & Mathematical Physics-- Classical & Quantum Mechanics
71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
ALGORITHMS
BOUNDARY CONDITIONS
COMPUTERIZED SIMULATION
DELTA FUNCTION
DIFFERENTIAL CALCULUS
DIFFERENTIAL EQUATIONS
DIFFUSION
EQUATIONS
FOKKER-PLANCK EQUATION
FUNCTIONS
GAUSSIAN PROCESSES
LANGEVIN EQUATION
MATHEMATICAL LOGIC
MATHEMATICAL MODELS
MATHEMATICS
MECHANICS
NOISE
PARTIAL DIFFERENTIAL EQUATIONS
PARTICLE MODELS
PROBABILITY
QUANTUM MECHANICS
SIMULATION
STATISTICAL MECHANICS
STEADY-STATE CONDITIONS
STOCHASTIC PROCESSES
71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
ALGORITHMS
BOUNDARY CONDITIONS
COMPUTERIZED SIMULATION
DELTA FUNCTION
DIFFERENTIAL CALCULUS
DIFFERENTIAL EQUATIONS
DIFFUSION
EQUATIONS
FOKKER-PLANCK EQUATION
FUNCTIONS
GAUSSIAN PROCESSES
LANGEVIN EQUATION
MATHEMATICAL LOGIC
MATHEMATICAL MODELS
MATHEMATICS
MECHANICS
NOISE
PARTIAL DIFFERENTIAL EQUATIONS
PARTICLE MODELS
PROBABILITY
QUANTUM MECHANICS
SIMULATION
STATISTICAL MECHANICS
STEADY-STATE CONDITIONS
STOCHASTIC PROCESSES