Propagator for the Fokker-Planck equation with an arbitrary diffusion coefficient

Chern Lee; Ka-Di Zhu; Ji-Gen Chen

doi:10.1103/PhysRevE.88.054103

Propagator for the Fokker-Planck equation with an arbitrary diffusion coefficient

Phys Rev E Stat Nonlin Soft Matter Phys. 2013 Nov;88(5):054103. doi: 10.1103/PhysRevE.88.054103. Epub 2013 Nov 20.

Authors

Chern Lee¹, Ka-Di Zhu², Ji-Gen Chen³

Affiliations

¹ Department of Physics and Astronomy, Shanghai Jiao Tong University, Shanghai 200240, China, and Department of Physics, Taizhou University, Taizhou 318000, China.
² Department of Physics and Astronomy, Shanghai Jiao Tong University, Shanghai 200240, China.
³ Department of Physics, Taizhou University, Taizhou 318000, China.

PMID: 24329387
DOI: 10.1103/PhysRevE.88.054103

Abstract

We consider a general diffusion process that is force-free and the corresponding Fokker-Planck equation with an arbitrary diffusion coefficient. A propagator for the Fokker-Planck equation of the Stratonovich form is obtained based on random walks. The characteristics of the solution are analyzed.

Publication types

Research Support, Non-U.S. Gov't