Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Example of stochastic differential equations

  1. Jul 31, 2011 #1
    hello to everyone,

    I have a problem solving a stochastic differential equation of the form:

    dX/dt=aX²+bX+c+sXn(t),

    where n(t) is white noise with a mean value equal to 0 and variance equal to one.

    Does anyone know the solution of this stochastic differential equation or how to solve it?

    Thank you
     
  2. jcsd
  3. Jul 31, 2011 #2
    Without that quadratic term, this would be easy, but...

    Where does this come from? What exactly do you need? Do you need a full solution, or would it be good enough to predict the mean of X?
     
  4. Jul 31, 2011 #3
    the stationary pdf of X gives the inverse gaussian distribution.
    I need the full solution
     
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook