Probability density function method for langevin equations with colored noise

Peng Wang, Alexandre M. Tartakovsky, Daniel M. Tartakovsky

Research output: Contribution to journalArticlepeer-review


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.

Original languageEnglish (US)
Article number140602
JournalPhysical review letters
Issue number14
StatePublished - Apr 2 2013
Externally publishedYes

ASJC Scopus subject areas

  • Physics and Astronomy(all)


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