Langevin equation with multiplicative white noise: Transformation of diffusion processes into the Wiener process in different prescriptions

被引：30
作者：
Kwok, Sau Fa [1 ]
机构：
[1] Univ Estadual Maringa, Dept Fis, BR-87020900 Maringa, Parana, Brazil
来源：
ANNALS OF PHYSICS | 2012年 / 327卷 / 08期
关键词：
Langevin equation; Fokker-Planck equation; Multiplicative white noise; Anomalous diffusion; STOCHASTIC-PROCESSES; FRACTIONAL DYNAMICS; GROWTH; SYMMETRIES;
D O I：
10.1016/j.aop.2012.04.008
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
A Langevin equation with multiplicative white noise and its corresponding Fokker-Planck equation are considered in this work. From the Fokker-Planck equation a transformation into the Wiener process is provided for different orders of prescription in discretization rule for the stochastic integrals. A few applications are also discussed. (C) 2012 Elsevier Inc. All rights reserved.
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页码：1989 / 1997
页数：9
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