# Euler-Maruyama scheme

Can the Euler-Maruyama method be used to simulate Langevin equations for non-Gaussian white noise? I need to evaluate a Langevin equation of the form $$dx= a(x)dt+D \eta dt$$ where $$\eta$$ is a non-Gaussian white noise.

• It's fine.The problem arrives deriving the Fokker-Planck equation, that assumes Gaussian fluctuations. – Alexander May 31 at 18:47
• Thank you very much – Vip Jun 2 at 1:13