Solution of the Fokker-Planck equation with a logarithmic potential (Q658500): Difference between revisions

A diffusion of particles in one space dimension is considered, under the assumption that the forward drift of the process is a negative gradient of a logarithmic potential with \(\ln |x|\) large \(|x|\) asymptotics. A transformation of the Fokker-Planck into the Schrödinger operator is employed and eigenfunction expansions are used to obtain the ground state and thermal equilibrium (Boltzmann-type) probability density functions (pdfs) if they exist. The main focus of the paper is on so-called infinite covariant densities, which are formally associated with not square integrable (e.g., not normalizable) eigenfunctions. A decay is investigated of initial pdfs and their characteristics (like, e.g., moments) in the asymptotic large time regime. A supplementary material on thermal equilibrium target pdfs for analogous processes may be found in [\textit{P. Garbaczewski} and \textit{V. Stephanovich}, Open Syst. Inf. Dyn. 17, No. 3, 287--296 (2010; Zbl 1203.82043)].