Stochastic Processes, Fokker-Planck Equation
The Fokker–Planck equation describes the time evolution of the probability density function of the position of a particle that follows a stochastic differential equation. It is assumed that the sample trajectories of the particle are continuous functions of time; but they are nowhere differentiable with respect to time. It is a generalization of the diffusion equation with the presence of a drift force field. It is named after A. Fokker and M. Planck; It is also known as the Kolmogorov forward equation, named after A. Kolmogorov. The first use of the Fokker–Planck equation was for the statistical description of Brownian motion of a particle in a fluid, independently, by A. Einstein and M. von Smoluchowski. Diffusion motion can be considered as a limiting case of biased random walk.
In one spatial ...
- Stochastic Processes, Fokker-Planck Equation
- Reference Work Title
- Encyclopedia of Systems Biology
- pp 2000-2004
- Print ISBN
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- Springer New York
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- Springer Science+Business Media, LLC
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- Editor Affiliations
- 1. Biomedical Sciences Research Institute, University of Ulster
- 2. Department of Computer Science, University of Rostock
- 3. Department of Bio and Brain Engineering, Korea Advanced Institute of Science and Technology (KAIST)
- 4. Department of Biomedical Engineering, Rensselaer Polytechnic Institute
- Author Affiliations
- 02791. Department of Applied Mathematics, University of Washington, 352420, Seattle, WA, 98195, USA
- 02792. School of Mathematical Sciences and Centre for Computational Systems Biology, Fudan University, No. 220 Handan Road, 200433, Shanghai, China
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