The covariant Boltzmann-Fokker-Planck equation and its associated short-time transition probability

1988 ◽  
Vol 21 (4) ◽  
pp. 1017-1028 ◽  
Author(s):  
G Horwitz ◽  
E Dagan
Keyword(s):  
Transition Probability ◽  
Planck Equation ◽  
Fokker Planck Equation ◽  
Short Time ◽  
Fokker Planck

A method for the calculation of characteristics for the solution to stochastic differential equations

2017 ◽  
Vol 23 (3) ◽  
Author(s):  
Alexander Egorov ◽  
Victor Malyutin
Keyword(s):  
Differential Equations ◽  
Stochastic Differential Equations ◽  
Numerical Method ◽  
Numerical Experiments ◽  
Probability Function ◽  
Transition Probability ◽  
Planck Equation ◽  
Fokker Planck Equation ◽  
Transition Probability Function ◽  
Fokker Planck

AbstractIn this work, a new numerical method to calculate the characteristics of the solution to stochastic differential equations is presented. This method is based on the Fokker–Planck equation for the transition probability function and the representation of the transition probability function by means of eigenfunctions of the Fokker–Planck operator. The results of the numerical experiments are presented.

AN APPLICATION OF FOKKER–PLANCK EQUATION TO JOSEPHSON JUNCTION

1989 ◽  
Vol 9 (1) ◽  
pp. 109-120
Author(s):  
G. Liao ◽  
A.F. Lawrence ◽  
A.T. Abawi
Keyword(s):  
Josephson Junction ◽  
Planck Equation ◽  
Fokker Planck Equation ◽  
Fokker Planck

scholarly journals Time-changed fractional Ornstein-Uhlenbeck process

2020 ◽  
Vol 23 (2) ◽  
pp. 450-483 ◽  
Author(s):  
Giacomo Ascione ◽  
Yuliya Mishura ◽  
Enrica Pirozzi
Keyword(s):  
Planck Equation ◽  
Uhlenbeck Process ◽  
Fokker Planck Equation ◽  
Ornstein Uhlenbeck Process ◽  
Fokker Planck

AbstractWe define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is shown. We also provide a generalized Fokker-Planck equation for the density of the process.

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