TY - JOUR
T1 - Probability density function method for langevin equations with colored noise
AU - Wang, Peng
AU - Tartakovsky, Alexandre M.
AU - Tartakovsky, Daniel M.
PY - 2013/4/2
Y1 - 2013/4/2
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=84876000344&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84876000344&partnerID=8YFLogxK
U2 - 10.1103/PhysRevLett.110.140602
DO - 10.1103/PhysRevLett.110.140602
M3 - Article
C2 - 25166972
AN - SCOPUS:84876000344
SN - 0031-9007
VL - 110
JO - Physical Review Letters
JF - Physical Review Letters
IS - 14
M1 - 140602
ER -