Analytical solution for the Fokker-Planck equation by differential transform method

作者：Hesam S; Nazemi A R^*; Haghbin A

来源：Scientia Iranica, 2012, 19(4): 1140-1145.

DOI：10.1016/j.scient.2012.06.018

• Fokker-Planck equation
• Kolmogorov equation
• Differential transform method
• Brownian motion
• Closed form solution

In this paper, a relatively recent method, namely the Differential Transform Method (DTM), is applied to devise a simple scheme for solving the Fokker-Planck equation and some similar equations. The method can easily be applied to many linear and non-linear problems and is capable of reducing the size of computational work. The approach also introduces the solution in the form of a rapidly convergent series. Illustrative examples are provided to demonstrate the applicability and efficiency of the technique.

• 出版日期2012-8