Comparison of some approaches for analysis of stochastic systems with short correlation time noise

Roman V. Bobryk

Physica A: Statistical Mechanics and its Applications, 1992, vol. 184, issue 3, 458-476

Abstract: We give a strict comparison of the diffusion, Bourret, and van Kampen approximations in the analysis of stochastic equations with short correlation time disturbances through the example of a random harmonic oscillator. We show that the diffusion approximation does not always gives satisfactory results.

Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:184:y:1992:i:3:p:458-476

DOI: 10.1016/0378-4371(92)90317-J

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