Computation of Fokker-Planck equation

被引：4

作者：

Yau, SST ^{[1
]}

机构：

[1] Dept Math Stat & Comp Sci, Chicago, IL 60607 USA

来源：

QUARTERLY OF APPLIED MATHEMATICS | 2004年 / 62卷 / 04期

关键词：

D O I：

10.1090/qam/2104266

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In plasma physics, the interaction of radio-frequency waves with a plasma is described by a Fokker-Planck equation with an added quasilinear term. In nonlinear filtering with conditional probability density of the state x(t) given the observation {y(s) : 0 less than or equal to S less than or equal to t} is also described by a Fokker-Planck equation with an added first order term. Method for solving Fokker-Planck equation by means of ordinary differential equations is discussed.

引用

页码：643 / 650

页数：8

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