Langevin equation with multiplicative white noise: Transformation of diffusion processes into the Wiener process in different prescriptions

摘要

A Langevin equation with multiplicative white noise and its corresponding Fokker-Planck equation are considered in this work. From the Fokker-Planck equation a transformation into the Wiener process is provided for different orders of prescription in discretization rule for the stochastic integrals. A few applications are also discussed.