Stochastic differential equation problem

  • Thread starter johnt447
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  • #1
johnt447
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Sorry if this is in the wrong section but i have a problem, I have no experience with stochastic equations well analytically anyway.

The equation i have is the following;

[itex]\frac{dv}{dt} = - \alpha v+ \lambda F+\eta[/itex]

Where alpha lambda and F are constants, v is a variable (speed in this case) and eta is a random value. I believe this is similar to Brownian motion with an applied field, although i have no idea how to solve this analytically i plan to solve it analytically and compare it to a numerical solution. So any help will be most appreciated!
 

Answers and Replies

  • #2
Eynstone
336
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This will turn into a standard equation of the type dv/dt=kv+ noise after a change of variable. For some general methods for solving SDEs, I hope the following link will be of much help -
http://math.berkeley.edu/~evans/SDE.course.pdf
 

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