Advertisement

The Fokker—Planck Equation: First Exit from a Domain

  • Johan Grasman
  • Onno A. van Herwaarden
Part of the Springer Series in Synergetics book series (SSSYN)

Abstract

In the previous chapter we saw that from a stochastic process
$$ dX_i = b_i (X)dt + \varepsilon \sum\limits_{j = 1}^k {\sigma _{ij} } (X)dW_j (t),X_i (0) = X_i^{(0)} ,i = 1, \ldots ,n $$
(2.1)
we can compute the statistical moments of X i (t) for some t › 0 only for simple examples or with perturbation methods for a short time.

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag Berlin Heidelberg 1999

Authors and Affiliations

  • Johan Grasman
    • 1
  • Onno A. van Herwaarden
    • 1
  1. 1.Department of MathematicsAgricultural UniversityWageningenThe Netherlands

Personalised recommendations