The Fokker-Planck equation. Methods of solution and applications (Q797918)

In the last time, especially in connection with the development of synergetics, the important role of the Fokker-Planck equation in the description of the effects of fluctuations (which appear when transitions from one state to another take place) close to transition points has turned out. For these simple reasons the present book is useful for a broad audience such as graduate students in physics, chemical physics and electrical engineering and also for the research workers in these fields. The first two chapters present the basis for the derivation of the Fokker-Planck equation as well as the necessary notions of probability theory. The third chapter is devoted to the Langevin equations. In the following seven chapters the author presents the Fokker-Planck equation for one and several variables and many methods of solutions of these equations and of the Kramer's equations, e.g., analytical methods, simulation method, eigenfunction expansion, numerical integration, variational method, adiabatic elimination of variables, matrix continued - fraction method. The last two chapters are devoted to applications to the Brownian motions in periodic potentials and to statistical properties of laser light. The appendices present some mathematical calculations and some simple examples for the use of methods of solutions presented in the book. A rich reference list and a subject index complete this very good book.