A transformed path integral approach for solution of the Fokker-Planck equation

DOI10.1016/j.jcp.2017.06.002zbMath1378.35307OpenAlexW2639931390MaRDI QIDQ1691864

Gnana M. Subramaniam, Prakash Vedula

Publication date: 25 January 2018

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jcp.2017.06.002

zbMATH Keywords

path integralFokker-Planck equationstochastic differential equationsuncertainty propagationshort-time propagator

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Fokker-Planck equations (35Q84)

Related Items

Adaptive density tracking by quadrature for stochastic differential equations, Numerical path integral calculation of the probability function and exit time: an application to non-gradient drift forces

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