This article is cited in 4 papers

Corrections to the diffusion approximation in stochastic differential equations

S. E. Pitovranov, V. N. Chetverikov


Abstract: 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.

Received: 11.05.1977

 English version: Theoretical and Mathematical Physics, 1978, 35:2, 415–422

Bibliographic databases:

• 
•