Correction of the Fokker-Planck equation, and the adequate sense of stochastic integration

2013/10/08 by Ryter, Dietrich
#60H10 #FOS: Physical sciences #Mathematical Physics (math-ph)

paper · doi:10.48550/arxiv.1310.2043

Abstract

The Fokker-Planck equation needs to be modified when the diffusion parameters are not constant, in order to match it with the backward equation. It even becomes simpler, and the integration of the underlying stochastic differential equation must obey the "anti-Ito" sense (with the latest evaluation point).

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