Langevin and Fokker–Planck Equations and their Generalizations

DOI10.1142/9745zbMath1411.35001OpenAlexW4248496929MaRDI QIDQ4608806

Sau Fa Kwok

Publication date: 28 March 2018

Full work available at URL: https://doi.org/10.1142/9745

zbMATH Keywords

Langevin equationstochastic dynamicsrandom walkKramers-Moyal expansion

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Laplace transform (44A10) Dynamics of random walks, random surfaces, lattice animals, etc. in time-dependent statistical mechanics (82C41) Research exposition (monographs, survey articles) pertaining to partial differential equations (35-02) Integro-partial differential equations (35R09) Fokker-Planck equations (35Q84) PDEs in connection with statistical mechanics (35Q82)

Related Items (5)

Exact solutions for the probability density of various conditioned processes with an entrance boundary ⋮ Fractional oscillator noise and its applications ⋮ A class of integro-differential Fokker–Planck equations with space-dependent coefficients ⋮ Similar solutions for nonlinear Langevin equations with the drift and diffusion coefficients separable in time and space ⋮ Generalized second Einstein relation in heterogeneous media

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