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Analytical solution of general one-dimensional Fokker-Planck equation

 

作者: Weijian Zhang,  

 

期刊: International Journal of Control  （Taylor Available online 1989）
卷期: Volume 49, issue 6  

页码: 2085-2091

 

ISSN:0020-7179

 

年代: 1989

 

DOI:10.1080/00207178908559764

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

The analytical solution of a general one-dimensional Fokker-Planck equation is obtained based upon Girsanov's transformation. Both the drift and the diffusion coefficients may depend on the state as well as time. An example of application is provided at the end.

 

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