One‐dimensional Brownian motion near an absorbing boundary: Solution to the steady state Fokker–Planck equation

1983 ◽  
Vol 79 (5) ◽  
pp. 2302-2307 ◽  
Author(s):  
Y. S. Mayya ◽  
D. C. Sahni
Keyword(s):  
Brownian Motion ◽  
Steady State ◽  
Planck Equation ◽  
Absorbing Boundary ◽  
One Dimensional ◽  
Fokker Planck Equation ◽  
Fokker Planck

Non-Maxwellian kinetic equations modeling the dynamics of wealth distribution

2020 ◽  
Vol 30 (04) ◽  
pp. 685-725 ◽  
Author(s):  
Giulia Furioli ◽  
Ada Pulvirenti ◽  
Elide Terraneo ◽  
Giuseppe Toscani
Keyword(s):  
Steady State ◽  
Wealth Distribution ◽  
Kinetic Equations ◽  
Planck Equation ◽  
Logarithmic Sobolev Inequality ◽  
One Dimensional ◽  
Distribution Of Wealth ◽  
Multi Agent ◽  
Fokker Planck Equations ◽  
Fokker Planck

We introduce a class of new one-dimensional linear Fokker–Planck-type equations describing the dynamics of the distribution of wealth in a multi-agent society. The equations are obtained, via a standard limiting procedure, by introducing an economically relevant variant to the kinetic model introduced in 2005 by Cordier, Pareschi and Toscani according to previous studies by Bouchaud and Mézard. The steady state of wealth predicted by these new Fokker–Planck equations remains unchanged with respect to the steady state of the original Fokker–Planck equation. However, unlike the original equation, it is proven by a new logarithmic Sobolev inequality with weight and classical entropy methods that the solution converges exponentially fast to equilibrium.

Brownian Motion on Cantor Sets

2020 ◽  
Vol 21 (3-4) ◽  
pp. 275-281
Author(s):  
Ali Khalili Golmankhaneh ◽  
Saleh Ashrafi ◽  
Dumitru Baleanu ◽  
Arran Fernandez
Keyword(s):  
Brownian Motion ◽  
Classical Method ◽  
Mean Square Displacement ◽  
Planck Equation ◽  
Cantor Sets ◽  
Mean Square ◽  
Fokker Planck Equation ◽  
Fractal Time ◽  
The Mean ◽  
Fokker Planck

AbstractIn this paper, we have investigated the Langevin and Brownian equations on fractal time sets using Fα-calculus and shown that the mean square displacement is not varied linearly with time. We have also generalized the classical method of deriving the Fokker–Planck equation in order to obtain the Fokker–Planck equation on fractal time sets.

First-Passage Time for Oscillators With Nonlinear Damping

1978 ◽  
Vol 45 (1) ◽  
pp. 175-180 ◽  
Author(s):  
J. B. Roberts
Keyword(s):  
First Passage Time ◽  
Digital Simulation ◽  
Planck Equation ◽  
Passage Time ◽  
Nonlinear Damping ◽  
First Passage ◽  
One Dimensional ◽  
Fokker Planck Equation ◽  
First Passage Failure ◽  
Fokker Planck

A simple numerical scheme is proposed for computing the probability of first passage failure, P(T), in an interval O-T, for oscillators with nonlinear damping. The method depends on the fact that, when the damping is light, the amplitude envelope, A(t), can be accurately approximated as a one-dimensional Markov process. Hence, estimates of P(T) are found, for both single and double-sided barriers, by solving the Fokker-Planck equation for A(t) with an appropriate absorbing barrier. The numerical solution of the Fokker-Planck equation is greatly simplified by using a discrete time random walk analog of A(t), with appropriate statistical properties. Results obtained by this method are compared with corresponding digital simulation estimates, in typical cases.

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