Solution of Fokker-Planck equation for a broad class of drift and diffusion coefficients

2011/07/05 by Fa, Kwok Sau
#FOS: Physical sciences #Statistical Mechanics (cond-mat.stat-mech)

paper · doi:10.48550/arxiv.1107.0959

Abstract

We consider a Langevin equation with variable drift and diffusion coefficients separable in time and space and its corresponding Fokker-Planck equation in the Stratonovich approach. From this Fokker-Planck equation we obtain a class of exact solutions with the same spatial drift and diffusion coefficients. Furthermore, we analyze some details of this system by using the spatial diffusion coefficient D(x)=√(D)|x| ^-% \fracθ2.

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