Infinite product expansion of the Fokker-Planck equation with steady-state solution
Author(s)
Martin, RJ
Craster, RV
Kearney, MJ
Type
Journal Article
Abstract
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.
Date Issued
2015-07-08
Date Acceptance
2015-05-22
Citation
Proceedings of the Royal Society A: Mathematical, Physical & Engineering Sciences, 2015, 471 (2179)
ISSN
1471-2946
Publisher
Royal Society, The
Journal / Book Title
Proceedings of the Royal Society A: Mathematical, Physical & Engineering Sciences
Volume
471
Issue
2179
Copyright Statement
© 2015 The Authors. Published by the Royal Society under the terms of the Creative Commons Attribution License http://creativecommons.org/licenses/by/4.0/, which permits unrestricted use, provided the original author and source are credited.
License URL
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Grant Number
EP/J009636/1
Subjects
Science & Technology
Multidisciplinary Sciences
Science & Technology - Other Topics
Ornstein-Uhlenbeck process
infinite product
asymptotics
diffusion
mathematical finance
DIFFUSION
Publication Status
Published
Article Number
20150084