Stationary solutions and stability of second order random differential equations

A. Bezen, F. C. Klebaner

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9 Citations (Scopus)

Abstract

White-noise perturbations of second-order differential equations are studied. The method of detailed balance is used to obtain stationary solutions of the Fokker-Planck equation. This method is applied to several types of random differential equations both with additive and parametric noises. Stationary moments of a solution of a linear equation are found.

Original languageEnglish
Pages (from-to)809-823
Number of pages15
JournalPhysica A: Statistical Mechanics and its Applications
Volume233
Issue number3-4
DOIs
Publication statusPublished - 1 Dec 1996
Externally publishedYes

Keywords

  • Detailed balance method
  • Fokker-Planck equation
  • Random differential equations

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