Probability Density Function Method for Langevin Equations with Colored Noise

Peng Wang, Alexandre M. Tartakovsky, and Daniel M. Tartakovsky

Phys. Rev. Lett. 110, 140602 – Published 2 April 2013

Abstract

Understanding the mesoscopic behavior of dynamical systems described by Langevin equations with colored noise is a fundamental challenge in a variety of fields. We propose a new approach to derive closed-form equations for joint and marginal probability density functions of state variables. This approach is based on a so-called large-eddy-diffusivity closure and can be used to model a wide class of non-Markovian processes described by the noise with an arbitrary correlation function. We demonstrate the accuracy of the proposed probability density function method for several linear and nonlinear Langevin equations.

Received 26 October 2012

DOI:https://doi.org/10.1103/PhysRevLett.110.140602

Authors & Affiliations

Peng Wang^1,*, Alexandre M. Tartakovsky^1,†, and Daniel M. Tartakovsky^2,‡

¹Pacific Northwest National Laboratory, Richland, Washington 99352, USA
²University of California, San Diego, 9500 Gilman Drive, La Jolla, California 92093, USA