Infinite product expansion of the Fokker–Planck equation with steady-state solution

DOI10.1098/rspa.2015.0084zbMath1371.35297OpenAlexW1817488543WikidataQ51728022 ScholiaQ51728022MaRDI QIDQ5362451

Michael J. Kearney, Richard J. Martin, Richard V. Craster

Publication date: 29 September 2017

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.2015.0084

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Fokker-Planck equations (35Q84)

Related Items (4)

Analytical approximation to the multidimensional Fokker–Planck equation with steady state ⋮ 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 ⋮ On the first hitting time density for a reducible diffusion process

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