Abstract
The relationship of the Ito-Stratonovich stochastic calculus to studies of weakly colored noise is explained. A functional calculus approach is used to obtain an effective Fokker-Planck equation for the weakly colored noise regime. In a smooth limit, this representation produces the Stratonovich version of the Ito-Stratonovich calculus for white noise. It also provides an approach to steady state behavior for strongly colored noise. Numerical simulation algorithms are explored, and a novel suggestion is made for efficient and accurate simulation of white noise equations.
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Fox, R.F. Stochastic calculus in physics. J Stat Phys 46, 1145–1157 (1987). https://doi.org/10.1007/BF01011160
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DOI: https://doi.org/10.1007/BF01011160