| Solution to the Fokker–Planck Equation with Piecewise-Constant Drift |
| |
| 作者姓名： | 程彬 陈亚铭 邓小刚 |
| |
| 作者单位： | 1. College of Computer National University of Defense Technology;2. College of Aerospace Science and Engineering National University of Defense Technology;3. Chinese Academy of Military Science |
| |
| 基金项目： | Supported by the National Natural Science Foundation of China (Grant Nos. 11972370 and 61772542)； |
| |
| 摘 要： | We study the solution to the Fokker–Planck equation with piecewise-constant drift, taking the case with two jumps in the drift as an example. The solution in Laplace space can be expressed in closed analytic form, and its inverse can be obtained conveniently using some numerical inversion methods. The results obtained by numerical inversion can be regarded as exact solutions, enabling us to demonstrate the validity of some numerical methods for solving the Fokker–Planck equation. In particular, ...
|
| 本文献已被 CNKI 等数据库收录！ |
