Maximum-entropy approach with higher moments for solving Fokker-Planck equation

DOI10.1016/S0378-4371(02)01001-4zbMath1001.82083MaRDI QIDQ1848183

Yanyan Li

Publication date: 19 November 2002

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

probability density functionNewton method

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Software, source code, etc. for problems pertaining to statistical mechanics (82-04)

Related Items (7)

Maximum entropy method for solving the collisional Vlasov equation ⋮ A unified view of transport equations ⋮ A maximum entropy method for solving the boundary value problem of second order ordinary differential equations ⋮ Maximum entropy method in comminution modelling ⋮ The truncated Stieltjes moment problem solved by using kernel density functions ⋮ Determination of the stationary state densities of the stochastic nonlinear dynamical systems ⋮ Adomian decomposition method for solving the diffusion-convection-reaction equations

Cites Work

• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• On the eigenfunctions of the Fokker-Planck operator and of its adjoint
• Papers on probability, statistics and statistical physics. Ed. by R. D. Rosenkrantz
• The Fokker-Planck equation. Methods of solution and applications.
• Inverse two-sided Laplace transform for probability density functions
• The maximum entropy method
• Exact solutions of a Fokker-Planck equation.
• On the approximation of the Fokker-Planck equation by moment systems
• Solving differential equations by a maximum entropy–minimum norm method with applications to Fokker–Planck equations
• Solution of the multivariate Fokker–Planck equation by using a maximum path entropy principle
• Information Theory and Statistical Mechanics
• Decomposition formulas of exponential operators and Lie exponentials with some applications to quantum mechanics and statistical physics
• Approximate solution of Fredholm integral equations by the maximum-entropy method
• Solution to boundary value problems using the method of maximum entropy
• Approximating solutions to linear and nonlinear differential equations by the method of maximum entropy
• Variational schemes in the Fokker - Planck equation
• A unified approach for the solution of the Fokker-Planck equation
• Nonextensive statistical mechanics and its applications. Papers from the IMS winter school on statistical mechanics: nonextensive generalization of Boltzmann-Gibbs statistical mechanics and its applications, Okazaki, Japan, February 15--18, 1999
• Handbook of stochastic methods for physics, chemistry and natural sciences.

This page was built for publication: Maximum-entropy approach with higher moments for solving Fokker-Planck equation