Similarity solutions of the Fokker-Planck equation with time-dependent coefficients

DOI10.1016/J.AOP.2011.11.004zbMATH Open1237.82035arXiv1106.3034OpenAlexW3101978582MaRDI QIDQ765783FDOQ765783

Authors: D. Kharzeev 

Publication date: 22 March 2012

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

Abstract: In this work, we consider the solvability of the Fokker-Planck equation with both time-dependent drift and diffusion coefficients by means of the similarity method. By the introduction of the similarity variable, the Fokker-Planck equation is reduced to an ordinary differential equation. Adopting the natural requirement that the probability current density vanishes at the boundary, the resulted ordinary differential equation turns out to be integrable, and the probability density function can be given in closed form. New examples of exactly solvable Fokker-Planck equations are presented, and their properties analyzed.

Full work available at URL: https://arxiv.org/abs/1106.3034

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zbMATH Keywords

Fokker-Planck equationexact solutionsimilarity methodtime-dependent drift and diffusion

Mathematics Subject Classification ID

Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) General topics in partial differential equations (35A99)

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Cited In (19)

• Exact solutions of the Fokker-Planck equations with moving boundaries
• Generalized Rayleigh and Jacobi processes and exceptional orthogonal polynomials
• Time-dependent solutions of the Fokker-Planck equation of maximally reduced air-sea coupling climate model
• Formal solution of Fokker-Planck equation in the operator approach.
• Similarity solutions of reaction-diffusion equation with space- and time-dependent diffusion and reaction terms
• Similarity solutions of Fokker-Planck equation with moving boundaries
• Similarity solutions of a class of perturbative Fokker-Planck equation
• A PERTURBATIVE APPROACH TO A CLASS OF FOKKER–PLANCK EQUATIONS
• Title not available (Why is that?)
• Exactly solvable Fokker-Planck equation with time-dependent nonlinear drift and diffusion coefficients -- the Lie-algebraic approach
• A Fokker-Planck equation for a piecewise entropy functional defined in different space domains. an application to solute partitioning at the membrane-water interface
• Exact solutions of nonlinear Fokker-Planck equations of the Desai-Zwanzig type
• Estimation of Variable Cefficients in the Fokker–Planck Quations Using Moving Node Finite Elements
• Title not available (Why is that?)
• Time-dependent Darboux transformation and supersymmetric hierarchy of Fokker-Planck equations
• Similarity solutions for a class of fractional reaction-diffusion equation
• Analytical solution of general one-dimensional Fokker-Planck equation
• Convection-diffusion-reaction equation with similarity solutions
• Extensions of a class of similarity solutions of Fokker-Planck equation with time-dependent coefficients and fixed/moving boundaries

Uses Software

• FEAPpv

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