Corrections to the diffusion approximation in stochastic differential equations
Teoretičeskaâ i matematičeskaâ fizika, Tome 35 (1978) no. 2, pp. 211-223
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An investigation is made of a system of Stochastic ordinary differential equations with a coordinate- and time-dependent Gaussian random field of velocities that differs little from one which is delta-correlated with respect to the time. The resulting corrections to the Einstein–Fokker–Planck–Kolmogorov equation are found explicitly, and some consequences of these corrections are discussed.
@article{TMF_1978_35_2_a6,
author = {S. E. Pitovranov and V. N. Chetverikov},
title = {Corrections to the diffusion approximation in stochastic differential equations},
journal = {Teoreti\v{c}eska\^a i matemati\v{c}eska\^a fizika},
pages = {211--223},
publisher = {mathdoc},
volume = {35},
number = {2},
year = {1978},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TMF_1978_35_2_a6/}
}
TY - JOUR AU - S. E. Pitovranov AU - V. N. Chetverikov TI - Corrections to the diffusion approximation in stochastic differential equations JO - Teoretičeskaâ i matematičeskaâ fizika PY - 1978 SP - 211 EP - 223 VL - 35 IS - 2 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/TMF_1978_35_2_a6/ LA - ru ID - TMF_1978_35_2_a6 ER -
%0 Journal Article %A S. E. Pitovranov %A V. N. Chetverikov %T Corrections to the diffusion approximation in stochastic differential equations %J Teoretičeskaâ i matematičeskaâ fizika %D 1978 %P 211-223 %V 35 %N 2 %I mathdoc %U http://geodesic.mathdoc.fr/item/TMF_1978_35_2_a6/ %G ru %F TMF_1978_35_2_a6
S. E. Pitovranov; V. N. Chetverikov. Corrections to the diffusion approximation in stochastic differential equations. Teoretičeskaâ i matematičeskaâ fizika, Tome 35 (1978) no. 2, pp. 211-223. http://geodesic.mathdoc.fr/item/TMF_1978_35_2_a6/