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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.

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# Statistical Differential Equation

Can you offer guidance or do you also need help?

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