Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum

DOI10.1063/1.5000386zbMATH Open1375.35558arXiv1703.10972OpenAlexW2604392277MaRDI QIDQ5366996FDOQ5366996

Author name not available (Why is that?)

Publication date: 10 October 2017

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

Abstract: Motivated by a problem in climate dynamics, we investigate the solution of a Bessel-like process with negative constant drift, described by a Fokker-Planck equation with a potential V(x) = - [b ln(x) + a, x], for b>0 and a<0. The problem belongs to a family of Fokker-Planck equations with logarithmic potentials closely related to the Bessel process, that has been extensively studied for its applications in physics, biology and finance. The Bessel-like process we consider can be solved by seeking solutions through an expansion into a complete set of eigenfunctions. The associated imaginary-time Schroedinger equation exhibits a mix of discrete and continuous eigenvalue spectra, corresponding to the quantum Coulomb potential describing the bound states of the hydrogen atom. We present a technique to evaluate the normalization factor of the continuous spectrum of eigenfunctions that relies solely upon their asymptotic behavior. We demonstrate the technique by solving the Brownian motion problem and the Bessel process both with a negative constant drift. We conclude with a comparison with other analytical methods and with numerical solutions.

Full work available at URL: https://arxiv.org/abs/1703.10972

zbMATH Keywords

Fokker-Planck equationhydrogen atomimaginary-time Schrödinger equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Completeness of eigenfunctions and eigenfunction expansions in context of PDEs (35P10) Time-dependent Schrödinger equations and Dirac equations (35Q41) Fokker-Planck equations (35Q84) Atomic physics (81V45) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Meteorology and atmospheric physics (86A10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• A theory of the term structure of interest rates
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Spectral Expansions for Asian (Average Price) Options
• A survey and some generalizations of Bessel processes
• On the transition densities for reflected diffusions
• The parabolic differential equations and the associated semigroups of transformation
• Some remarks on the Rayleigh process
• Polling systems in heavy traffic: a Bessel process limit
• Solution of the Fokker-Planck equation with a logarithmic potential
• A decomposition of Bessel Bridges
• Transient behavior of regulated Brownian motion, I: Starting at the origin
• Transient behavior of regulated Brownian motion, II: Non-zero initial conditions
• Decomposing the Brownian path
• One-dimensional Brownian motion and the three-dimensional Bessel process
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance
• Stochastic quantization and the Gribov problem in nonabelian gauge theories.
• Loop exponent in DNA bubble dynamics
• Statistical mechanics and the climatology of the arctic sea ice thickness distribution
• A stochastic perturbation theory for non-autonomous systems
• Nonlinear threshold behavior during the loss of Arctic sea ice

Cited In (5)

• A unified view of transport equations
• Entropy of sharp restart
• Deriving general solutions of the heat-transfer and the Fokker-Planck boundary-value problems through modified separation methods
• Green's functions and the Cauchy problem of the Burgers hierarchy and forced Burgers equation
• Exactly solvable stochastic spectator

This page was built for publication: Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5366996)