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.
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页码：643 / 650
页数：8
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