Similarity solutions of the Fokker-Planck equation with time-dependent coefficients (Q765783)

The authors consider a class of Fokker-Planck equations in one dimension, with suitable scaling properties under certain scaling transformations of the basic variables \(x\) and \(t\), and time dependent drift and diffusion coefficients. By using the similarity method they are able to transform the original partial differential equation into an ordinary differential equation for a new similarity variable. Considering as space domains the real line or the half line and taking the probability current density to vanish at the boundaries, the ordinary differential equation turns out to be integrable, and the probability density function can be given in closed form. Examples of exactly solvable models are considered in detail, providing the explicit expression of the probability density function.