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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:


    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
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