Analytical approximation to the multidimensional Fokker–Planck equation with steady state
From MaRDI portal
Publication:5051143
DOI10.1088/1751-8121/aafea3zbMath1505.60077arXiv1810.08401OpenAlexW3099750458MaRDI QIDQ5051143
Michael J. Kearney, Richard V. Craster, Richard J. Martin, Alexandre Pannier
Publication date: 18 November 2022
Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.08401
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fokker-Planck equations (35Q84)
Related Items
Long- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processes, Stochastic entropy production in diffusive systems
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Estimation of agent-based models: The case of an asymmetric herding model
- Stochastic models, estimation, and control. Vol. 1
- The Fokker-Planck equation. Methods of solution and applications.
- Robust extended Kalman filtering
- A Theory of the Term Structure of Interest Rates
- Brownian motion with dry friction: Fokker–Planck approach
- A Brief Survey of Bandwidth Selection for Density Estimation
- Spectral Methods in MATLAB
- Practical Quantum Mechanics II
- Beating the curse of dimension with accurate statistics for the Fokker–Planck equation in complex turbulent systems
- The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
- Infinite product expansion of the Fokker–Planck equation with steady-state solution
- Spectral Methods
- Kernel density estimation for heavy-tailed distributions using the champernowne transformation
- Solutions of Fokker-Planck Equation with Applications in Nonlinear Random Vibration