Small-time expansion of the Fokker-Planck kernel for space and time dependent diffusion and drift coefficients

DOI10.1063/5.0006009MaRDI QIDQ5136147zbMATH OpenOpenAlexFDO

Authors Adel Bilal

Publication date 25 November 2020

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.02166

zbMATH Keywords

asymptotic expansionFokker-Planck equation

Mathematics Subject Classification ID

Asymptotic expansions of solutions to PDEs (35C20) Fokker-Planck equations (35Q84) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: We study the general solution of the Fokker-Planck equation in d dimensions with arbitrary space and time dependent diffusion matrix and drift term. We show how to construct the solution, for arbitrary initial distributions, as an asymptotic expansion for small time. This generalizes the well-known asymptotic expansion of the heat-kernel for the Laplace operator on a general Riemannian manifold. We explicitly work out the general solution to leading and next-to-leading order in this small-time expansion, as well as to next-to-next-to-leading order for vanishing drift. We illustrate our results on a several examples.

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Cites work

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• Effective gravitational action for 2D massive Majorana fermions on arbitrary genus Riemann surfaces
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