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Название: Stochastic Calculus in Physics
Автор: Fox R.F.
Journal of Statistical Physics, Voi. 46, Nos. 5/6, 1987, p. 1145-1157.
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.