PS Hagan,
CR Doering, CD Levermore - SIAM Journal on Applied …, 1989 - SIAM
Consider a particle whose velocity is an Ornstein-Uhlenbeck process with correlation time
ε^2, dXdt=σZε,\qquaddZdt=-Zε^2+\sqrt2ξ(t)ε, where ξ(t) is Gaussian white noise. This …