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

DOI10.1063/1.5000386MaRDI QIDQ5366996zbMATHOpenAlexFDO

Authors

Publication date 10 October 2017

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

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)

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.

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• Entropy of sharp restart
• Deriving general solutions of the heat-transfer and the Fokker-Planck boundary-value problems through modified separation methods
• Solution of the Fokker-Planck equation with a logarithmic potential
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• A unified view of transport equations
• Exactly solvable stochastic spectator

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