High-Order Spectral Method of Density Estimation for Stochastic Differential Equation Driven by Multivariate Gaussian Random Variables

Figure 2

The mean amplitude of Equation (23) solution at different times (t = 0, 5, 10, 20 (top)). The trend fluctuations of mean amplitude for Equation (23) solution at every time (middle). The PDF of Equation (23) solution at different times (t = 0, 5, 10, 20 (bottom)).