Numerical solution of the Fokker-Planck equation with variable coefficients

We study the numerical solution of the Fokker-Planck equation. This equation gives a good approximation to the radiative transport equation when scattering is peaked sharply in the forward direction which is the case for light propagation in tissues, for example. We derive first the numerical solution for the problem with constant coefficients. This numerical solution is constructed as an expansion in plane wave solutions. Then we extend that result to take into account coefficients that vary spatially. This extension leads to a coupled system of initial and final value problems. We solve this system iteratively. Numerical results show the utility of this method.     

Finite element approximation of the Fokker-Planck equation for diffuse optical tomography

In diffuse optical tomography, light transport theory is used to describe photon propagation inside turbid medium. A commonly used simplification for the radiative transport equation is the diffusion approximation due to computational feasibility. However, it is known that the diffusion approximation is not valid close to the sources and boundary and in low-scattering regions. Fokker-Planck equation describes light propagation when scattering is forward-peaked. In this article a numerical solution of the Fokker-Planck equation using finite element method is developed. Approach is validated against Monte Carlo simulation and compared with the diffusion approximation. The results show that the Fokker-Planck equation gives equal or better results than the diffusion approximation on the boundary of a homogeneous medium and in turbid medium containing a low-scattering region when scattering is forward-peaked.     

Eigentheory of the inhomogeneous Fokker-Planck equation

Ambiguities that occur in the existing eigentheory of the inhomogeneous Fokker-Planck equation are resolved. The eigenfunction expansion is shown to be identical to the known exact solution, generalizing an earlier result for the space-homogeneous case.Work partially supported by the NSF.     

The Fokker-Planck equation for arbitrary nonlinear noise

We present the Fokker-Planck equation for arbitrary nonlinear noise terms. The white noise limit is taken as the zero correlation time limit of the Ornstein-Uhlenbeck process. The drift and diffusion coefficients of the Fokker-Planck equation are given by triple integrals of the fluctuations. We apply the Fokker-Planck equation to the active rotator model with a fluctuating potential barrier which depends nonlinearly on an additive noise. We show that the nonlinearity may be transformed into the correlation of linear noise terms.     

The operator method for solving the fractional Fokker-Planck equation

The operator method has been used to solve the fractional Fokker-Planck equation (FPE) which recently formulated as a model for the anomalous transport process. Two classes of special interest of fractional F-P equations coming from plasma physics and charged particle transport problem has been considered. It is shown that the mean square-displacement 〈x²(t)〉 satisfy the universal power law characterized the anomalous time evolution i.e. .     

Noise-intensity fluctuation in Langevin model and its higher-order Fokker-Planck equation

In this paper, we investigate a Langevin model subjected to stochastic intensity noise (SIN), which incorporates temporal fluctuations in noise-intensity. We derive a higher-order Fokker-Planck equation (HFPE) of the system, taking into account the effect of SIN by the adiabatic elimination technique. Stationary distributions of the HFPE are calculated by using the perturbation expansion. We investigate the effect of SIN in three cases: (a) parabolic and quartic bistable potentials with additive noise, (b) a quartic potential with multiplicative noise, and (c) a stochastic gene expression model. We find that the existence of noise-intensity fluctuations induces an intriguing phenomenon of a bimodal-to-trimodal transition in probability distributions. These results are validated with Monte Carlo simulations.     

On the solution of Fokker-Planck equation for electron transport

Two different techniques have been used to solve the Fokker-Planck equation for electron transport in infinite homogeneous medium namely, maximum entropy and flux-limited approach. The solutions obtained for the scalar flux function φ₀(x,s) by both methods are numerically compared.     

位相不匹配情形Fokker-Planck方程的解及其在准位相匹配参量放大中的应用

在前文的基础上求得了简并参量放大系统在位相不匹配情况下的Fokker_Planck方程一个新 的解析解，然后通过准位相匹配(QPM)，计算振幅的量子起伏. 这一结果在不考虑损耗(k =0)情况下，与已知的按解Langevin方程求得的结果为一致. 对于一般的考虑损耗(k ≠0)情况，我们也得出损耗系数k对压缩态特性的影响. 关键词： 简并参量放大 位相不匹配的Fokker_Planck方程 准位相匹配技术(QPM技术)     

Solution of the Fokker-Planck equation for the shock wave problem

An eigenexpansion solution of the time-independent Brownian motion Fokker-Planck equation is given for a situation in which the external acceleration is a step function. The solution describes the heavy-species velocity distribution function in a binary mixture undergoing a shock wave, in the limit of high dilution of the heavy species and negligible width of the light-gas internal shock. The diffusion solution is part of the eigenexpansion. The coefficients of the series of eigenfunctions are obtained analytically with transcendentally small errors of order exp(–1/M), whereM 1 is the mass ratio. Comparison is made with results from a hypersonic approximation.     

An exact solution of Fisher equation and its stability

In this paper, the Fisher equation is analysed. One of its travelling wave solution is obtained by comparing it with KdV--Burgers (KdVB) equation. Its amplitude, width and speed are investigated. The instability for the higher order disturbances to the solution of the Fisher equation is also studied.     

Generalized Fokker-Planck equation: Derivation and exact solutions

We derive the generalized Fokker-Planck equation associated with the Langevin equation (in the Ito sense) for an overdamped particle in an external potential driven by multiplicative noise with an arbitrary distribution of the increments of the noise generating process. We explicitly consider this equation for various specific types of noises, including Poisson white noise and Lévy stable noise, and show that it reproduces all Fokker-Planck equations that are known for these noises. Exact analytical, time-dependent and stationary solutions of the generalized Fokker-Planck equation are derived and analyzed in detail for the cases of a linear, a quadratic, and a tailored potential.     

The kinetic boundary layer for the Fokker-Planck equation with absorbing boundary

The Fokker-Planck equation for the distribution of position and velocity of a Brownian particle is a particularly simple linear transport equation. Its normal solutions and an apparently complete set of stationary boundary layer solutions can be determined explicitly. By a numerical algorithm we select linear combinations of them that approximately fulfill the boundary condition for a completely absorbing plane wall, and that approach a linearly increasing position space density far from the wall. Various aspects of these approximate solutions are discussed. In particular we find that the extrapolated asymptotic density reaches zero at a distance x_M beyond the wall. We find x_M=1.46 in units of the velocity persistence length of the Brownian particle. This study was motivated by certain problems in the theory of diffusion-controlled reactions, and the results might be used to test approximate theories employed in that field.     

周期场时间导数Ornstein-Uhlenbeck噪声Fokker-Planck方程的小参数展开求解

通过引入变量,周期场中内部时间导数Ornstein-Uhlenbeck噪声驱动的布朗运动可用高维Fokker-Planck方程来描述. 上述系统不能直接应用通常的小参数展开和势谷中心展开近似求解. 用一种变通的小参数展开方法近似求解了系统的Fokker-Planck方程,结果适用于小势垒高度、中等关联时间和较大的相空间区域,近似解析解可获得系统的改进. 关键词： Fokker-Planck方程 周期势 时间导数Ornstein-Uhlenbeck噪声 小参数展开     

The van Kampen expansion for the Fokker-Planck equation of a duffing oscillator

In Rodríguez and van Kampen's 1976 paper a method of extracting information from the Fokker-Planck equation without having to solve the equation is outlined. The Fokker-Planck equation for a Duffing oscillator excited by white noise is expanded about the intensity of the forcing function. This expansion is carried to order . However, no studies are made of the effects of the order of the expansion or variation of the parameters, nor are comparisons made to experimental results. In the present paper, the expansion is carried to a higher order, , results are presented and compared to Monte Carlo experiments using both white and colored noise, and parametric studies are performed on the intensity of the forcing function and the damping coefficient. It is found that the expansion method works well for the case of white noise and for colored noise where the correlation time is less than 0.1 sec, but fails to give certain details. It is also found that the system behaves as expected when the parameters are varied.     

The kinetic boundary layer for the Fokker-Planck equation: Selectively absorbing boundaries

We study the joint distribution function for position and velocity of a Brownian particle near a wall. The wall absorbs all particles that hit it with sufficiently high velocity and reflects all slower ones, either specularly or diffusely. We determine in particular stationary distributions in the absence of external forces. Appreciable deviations from local equilibrium occur in a kinetic boundary layer near the wall; its details depend strongly on the way in which the slow particles are reflected. The resulting effective absorption rate is calculated and compared with the result of approximations analogous to the transition state theory of chemical reactions. The method used is a generalization of the one used in an earlier paper for the case of a completely absorbing wall; a numerical algorithm based on an expansion of the distribution function in terms of a presumably complete set of boundary layer solutions.     

由非简并光学参量放大系统获得压缩态光所满足的Fokker-Planck方程及其解

通过解非简并光学参量放大的Fokker-Planck方程，得出压缩态光的腔内最大压缩的量子起伏为1/16（真空起伏为1/4）,与已知的简并光学参量放大情形腔内最大压缩为1/8相比，压缩度提高了一倍. 关键词： 非简并光学参量放大 Fokker-Planck方程 腔内最大压缩     

Geometrical derivation of the intrinsic Fokker-Planck equation and its stationary distribution

Starting from an intrinsic Langevin equation, we give a geometrical derivation of the Fokker-Planck equation. We also present a method for obtaining a stationary distribution and for deriving potential conditions when the diffusion matrix is singular.     

基于Fokker-Planck方程的电介质材料短脉冲激光破坏机制分析

基于Pokker-Planck方程,建立一个描述短脉冲激光作用下电介质材料中导带电子能量分布随时间变化的模型,用数值方法计算电子能量分布与电子数密度随时间的演化过程,根据临界等离子体密度准则得到了不同激光脉冲宽度和波长下电介质材料(以SiO<,2>为例)的破坏阈值.结果发现,尽管激光波长通过3种途径对材料破坏阈值的确定...     

From the Perron-Frobenius equation to the Fokker-Planck equation

We show that for certain classes of deterministic dynamical systems the Perron-Frobenius equation reduces to the Fokker-Planck equation in an appropriate scaling limit. By perturbative expansion in a small time scale parameter, we also derive the equations that are obeyed by the first- and second-order correction terms to the Fokker-Planck limit case. In general, these equations describe non-Gaussian corrections to a Langevin dynamics due to an underlying deterministic chaotic dynamics. For double-symmetric maps, the first-order correction term turns out to satisfy a kind of inhomogeneous Fokker-Planck equation with a source term. For a special example, we are able solve the first- and second-order equations explicitly.     

An exact solution for the linearized multifrequency radiation diffusion equation

An exact solution, based on Fourier and Laplace (FL) transforms, is developed for a linearization of the system modeling the multifrequency radiation diffusion and matter energy balance equations. The model uses an ideal gas equation of state. Opacities are proportional to the inverse of the cube of the frequency, thereby simulating free-free transitions. The solution is obtained in terms of integrals over the FL coefficients of the initial conditions and explicit sources. Results are presented for two special cases. (1) No sources, initially cold radiation field, and a localized matter energy profile. (2) Initially cold matter and radiation fields and a source of matter energy extending over finite space and time intervals.