Nonstationary invariant distributions and the hydrodynamics-style generalization of the Kol\-mo\-gorov-forward/Fokker-Planck equation (Q812643): Difference between revisions

The author deals with non-stationary distribution of diffusion stochastic processes using as basis the Fokker-Planck equation satisfied by the distribution function under the usual constraints. The Fokker-Planck equation very much resembles the continuity equation of an arbitrary fluid element in hydrodynamics. This was noted by Feller and is in very much usage in class room expositions. In classical hydrodynamics [see for example \textit{A. S. Ramsey}, ``A treatise on hydromechanics. II: Hydrodynamics'' (London; 1913; JFM 44.0868.09), Chapter 1] this occupies a central place and many general properties of time dependent motion are derived directly by use of the continuity equation without recourse to special methods. In the context of diffusion stochastic processes the author calls this interpretation as hydrodynamic style interpretation. The particle trajectories in hydrodynamics (which eventually be streamlines in the case of steady motion) are invoked here in the context of diffusion stochastic processes. The author also introduces the concept of total derivative, very familiar in hydrodynamics and is able to set down criteria under which an invariant probability density is possible. The criteria are illustrated by a couple of examples leading to time dependent normal distribution.