Spectral Analysis of Fokker--Planck and Related Operators Arising From Linear Stochastic Differential Equations

DOI10.1137/S0363012998338193zbMath0964.35106OpenAlexW2134321402MaRDI QIDQ4507418

Roger W. Brockett, Daniel Liberzon

Publication date: 18 October 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012998338193

zbMATH Keywords

linear stochastic differential equationdouble bracket equationFokker-Planck operatormodified Hermite polynomials

Mathematics Subject Classification ID

General topics in linear spectral theory for PDEs (35P05) Series solutions to PDEs (35C10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (8)

Stability of the front under a Vlasov-Fokker-Planck dynamics ⋮ Global existence and long time behavior of the ellipsoidal-statistical-Fokker-Planck model for diatomic gases ⋮ Consistent time‐homogeneous modeling of SPX and VIX derivatives ⋮ Moment Lyapunov exponent and stochastic stability for a binary airfoil driven by an ergodic real noise ⋮ Phase transitions and metastability in Markovian and molecular systems ⋮ The moment Lyapunov exponent for a three-dimensional stochastic system ⋮ Filtering the Maximum Likelihood for Multiscale Problems ⋮ Spectrum analysis of the linear Fokker–Planck equation

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