Analytical approximation to the multidimensional Fokker-Planck equation with steady state

The Fokker-Planck equation is a key ingredient of many models in physics, and related subjects, and arises in a diverse array of settings. Analytical solutions are limited to special cases, and resorting to numerical simulation is often the only route available; in high dimensions, or for parametric...

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Veröffentlicht in:	Journal of physics. A, Mathematical and theoretical Mathematical and theoretical, 2019-02, Vol.52 (8), p.85002
Hauptverfasser:	Martin, R J, Craster, R V, Pannier, A, Kearney, M J
Format:	Artikel
Sprache:	eng
Schlagworte:	Fokker-Planck equation Mathematics mean reversion stochastic processes
Online-Zugang:	Volltext
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