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Statistical Differential Equation

  1. Nov 5, 2013 #1
    Stochastic Differential Equation

    Hi there,
    I am trying to solve (analytically) a stochastic differential equation of the form:
    [itex]\frac{d^2}{dt^2}x +\left(k(t)+\delta k \ t\right)x)=0 [/itex]

    Here \delta k is a random (gaussian) white noise. Note, that in the differential equation it is multiplied by t which makes this equation hard to solve.

    I would like to calculate <x(t)> and <x(t)^2>. Any suggestion what formulas I could use? Unfortunately I never had a lecture in SDE. :blushing:
    Last edited: Nov 5, 2013
  2. jcsd
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