A class of solvable nonlinear Langevin equation driven by multiplicative colored noise. (13th June 2019) - Fa, Kwok Sau
Abstract: A solution is obtained from a wide class of the nonlinear Langevin equation driven by the multiplicative Ornstein–Uhlenbeck noise, with the drift and diffusion coefficients separable in time and space. It is possible to demonstrate that the probability distribution function recovers the result of the system driven by the Gaussian white noise. The solution unifies various previous results presented in the literature. The technique can also be used for investigating the system driven by other colored noises.