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

DOI10.1063/5.0006009zbMATH Open1453.82062arXiv1904.02166OpenAlexW2926195609MaRDI QIDQ5136147FDOQ5136147

Adel Bilal

Publication date: 25 November 2020

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

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.

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)

Cites Work

• Title not available (Why is that?)
• Heat kernel expansion: user's manual
• Multi-loop zeta function regularization and spectral cutoff in curved spacetime
• The Fokker-Planck equation. Methods of solution and applications.
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
• On the trend to equilibrium for the Fokker-Planck equation: an interplay between physics and functional analysis.
• Partial differential equation models in macroeconomics
• The Langevin Equation

Cited In (3)

• Effective gravitational action for 2D massive Majorana fermions on arbitrary genus Riemann surfaces
• A geometric Laplace method
• Exponential power series expansion for the propagator of general diffusion processes

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