Method for direct analytic solution of the nonlinear Langevin equationusing multiple timescale analysis: Mean-square displacement.

Abstract

We consider a class of nonlinear Langevin equationswith additive, Gaussian white noise. Because of nonlinearity, the calculation of moments poses a serious problem for any direct solution of the Langevin equation. Based on multiple timescale analysis we introduce a scheme for directly solving the equations. We first derive the equationsfor the fast and slow dynamics, in the spirit of the Blekhman perturbation method in vibrational mechanics, the fast motion being described by the Brownian motion of a harmonic oscillator whose effect is subsumed in the slow motion resulting in a parametrically driven nonlinear oscillator. The multiple timescale perturbation theory is then used to obtain a secular divergence-free analytic solution for the slow nonlinear dynamics for calculation of the moments. Our analytical results for mean-square displacement are corroborated with direct numerical simulation of Langevin equations.