Numerical evaluation of path-integral solutions to Fokker-Planck equations
Journal Article
·
· Physical Review (Section) A: General Physics; (USA)
A numerical method, based on the path-integral formalism, is presented to solve nonlinear Fokker-Planck equations with natural boundary conditions. For one-dimensional stochastic processes, several specific examples possessing exact analytic solutions are evaluated numerically for purposes of comparison. Various discretization prescriptions are investigated and found to be equivalent as expected. The numerical method is shown to give accurate results provided the spatial discretization and the time step satisfy certain relationships determined by the drift and the diffusion functions of the nonlinear Fokker-Planck equations. 26 refs., 5 figs.
- DOE Contract Number:
- AC02-82ER52082
- OSTI ID:
- 5144527
- Journal Information:
- Physical Review (Section) A: General Physics; (USA), Journal Name: Physical Review (Section) A: General Physics; (USA) Vol. 27:5; ISSN PLRAA; ISSN 0556-2791
- Country of Publication:
- United States
- Language:
- English
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Related Subjects
657000 -- Theoretical & Mathematical Physics
71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
99 GENERAL AND MISCELLANEOUS
990200* -- Mathematics & Computers
BOUNDARY CONDITIONS
CALCULATION METHODS
DIFFERENTIAL EQUATIONS
EQUATIONS
FOKKER-PLANCK EQUATION
MATHEMATICAL MODELS
MATHEMATICAL OPERATORS
MATHEMATICS
NUMERICAL ANALYSIS
ONE-DIMENSIONAL CALCULATIONS
PARTIAL DIFFERENTIAL EQUATIONS
STOCHASTIC PROCESSES
71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
99 GENERAL AND MISCELLANEOUS
990200* -- Mathematics & Computers
BOUNDARY CONDITIONS
CALCULATION METHODS
DIFFERENTIAL EQUATIONS
EQUATIONS
FOKKER-PLANCK EQUATION
MATHEMATICAL MODELS
MATHEMATICAL OPERATORS
MATHEMATICS
NUMERICAL ANALYSIS
ONE-DIMENSIONAL CALCULATIONS
PARTIAL DIFFERENTIAL EQUATIONS
STOCHASTIC PROCESSES