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Mathematics course of the University of Cambridge

Past exam of the mathematics course of the University of Cambridge

2026

Paper 353

The stationary solution of
$$
dq=-\nu q\,dt+\sqrt{\alpha\nu}\,dW
$$
is
$$
q(t)=\sqrt{\alpha\nu}\int_{-\infty}^te^{-\nu(t-u)}\,dW_u.
$$
It follows from the <Itô isometry> that
$$
\boxed{\langle q(t)q(t+\tau)\rangle
=\frac\alpha2e^{-\nu|\tau|}}.
$$
\b[Thus $q$ is zero-mean <colored noise> with correlation time $\nu^{-1}$. The equation $\dot x=\mu(-\lambda x+q)$ is an overdamped harmonic particle of mobility $\mu$ driven by that correlated random force.]

Solution

Past exam of the mathematics course of the University of Cambridge / 2026 / iii / Paper 353 / 1 / c / i / Solution

Past exam of the mathematics course of the University of Cambridge / 2026 / iii / Paper 353 / 1 / c / i / Solution

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Past exam of the mathematics course of the University of Cambridge / 2026 / iii / Paper 353 / 1 / c / i / Solution

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