https://doi.org/10.1140/epjb/e2003-00119-2
Lie algebraic approach for Fokker-Planck dynamics with space-dependent diffusion and mean-reverting drift
Department of Physics,
The Chinese University of Hong Kong, Shatin, New Territories, Hong Kong
Corresponding author: a eflo@phy.cuhk.edu.hk
Received:
18
December
2002
Revised:
3
March
2003
Published online:
24
April
2003
Using the Lie algebraic approach we have derived the exact diffusion propagator of the Fokker-Planck equation with a time-dependent variable diffusion coefficient and a time-dependent mean-reverting force between two absorbing boundaries. The exact diffusion propagator not only enables us to study the time evolution of the corresponding stochastic system, but the knowledge of the propagator can also provide a benchmark for testing approximate numerical or analytical procedures. Furthermore, the Lie algebraic method is very simple and could be easily extended to the more general Fokker-Planck equations with well-defined algebraic structures.
PACS: 05.40.-a – Fluctuation phenomena, random processes, noise, and Brownian motion / 02.50.Ey – Stochastic processes / 05.10.Gg – Stochastic analysis methods (Fokker-Planck, Langevin, etc.)
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2003