TY - JOUR
T1 - Infinite product expansion of the Fokker–Planck equation with steady-state solution
JF - Proceedings of the Royal Society A: Mathematical, Physical and Engineering Science
M3 - 10.1098/rspa.2015.0084
VL - 471
IS - 2179
AU - Martin, R. J.
AU - Craster, R. V.
AU - Kearney, M. J.
Y1 - 2015/07/08
UR - http://rspa.royalsocietypublishing.org/content/471/2179/20150084.abstract
N2 - We present an analytical technique for solving Fokker–Planck equations that have a steady-state solution by representing the solution as an infinite product rather than, as usual, an infinite sum. This method has many advantages: automatically ensuring positivity of the resulting approximation, and by design exactly matching both the short- and long-term behaviour. The efficacy of the technique is demonstrated via comparisons with computations of typical examples.
ER -