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

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
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Can you offer guidance or do you also need help?
Draft saved Draft deleted



Similar Discussions: Statistical Differential Equation
  1. Differential equation (Replies: 3)

  2. Differential equation (Replies: 2)

Loading...