The Fokker-Planck Equation

In 1984, H. Risken authored a book (H. Risken, The Fokker-Planck Equation: Methods of Solution, Applications, Springer-Verlag, Berlin, New York) discussing the Fokker-Planck equation for one variable, several variables, methods of solution and its applications, especially dealing with laser statistics. There has been a considerable progress on the topic as well as the topic has received greater clarity. For these reasons, it seems worthwhile again to summarize previous as well as recent developments, spread in literature, on the topic. The Fokker-Planck equation describes the evolution of conditional probability density for given initial states for a Markov process, which satisfies the Ito stochastic differential equation. The structure of the Fokker-Planck equation for the vector case is

• Publication year

  2010

• Venue

  Unknown venue

• Publication date

  2010-08-17

• Fields of study

  Mathematics, Physics

• Identifiers
  DOI 10.5772/9730
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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