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The Fokker-Planck Equation

Methods of Solution and Applications

  • Hannes Risken

Part of the Springer Series in Synergetics book series (SSSYN, volume 18)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Hannes Risken
    Pages 1-12
  3. Hannes Risken
    Pages 13-31
  4. Hannes Risken
    Pages 32-62
  5. Hannes Risken
    Pages 63-95
  6. Hannes Risken
    Pages 163-178
  7. Hannes Risken
    Pages 179-195
  8. Hannes Risken
    Pages 229-275
  9. Hannes Risken
    Pages 276-373
  10. Hannes Risken
    Pages 374-413
  11. Back Matter
    Pages 414-472

About this book

Introduction

This book deals with the derivation of the Fokker-Planck equation, methods of solving it and some of its applications. Various methods such as the simulation method, the eigenfunction expansion, numerical integration, the variational method, and the matrix continued-fraction method are discussed. This is the first time that this last method, which is very effective in dealing with simple Fokker-Planck equations having two variables, appears in a textbook. The methods of solution are applied to the statistics of a simple laser model and to Brownian motion in potentials. Such Brownian motion is important in solid-state physics, chemical physics and electric circuit theory. This new study edition is meant as a text for graduate students in physics, chemical physics, and electrical engineering.

Keywords

Potential Random variable computer simulation correlation differential equation diffusion eigenvalue numerical method partial differential equation probability probability theory statistics

Authors and affiliations

  • Hannes Risken
    • 1
  1. 1.Abteilung für Theoretische PhysikUniversität UlmOberer Eselsberg, UlmGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-61544-3
  • Copyright Information Springer-Verlag Berlin Heidelberg 1996
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-61530-9
  • Online ISBN 978-3-642-61544-3
  • Series Print ISSN 0172-7389
  • Buy this book on publisher's site