Generalizations and extensions of the Fokker- Planck-Kolmogorov equations
نویسندگان
چکیده
منابع مشابه
Generalized Stochastic Fokker-Planck Equations
We consider a system of Brownian particles with long-range interactions. We go beyond the mean field approximation and take fluctuations into account. We introduce a new class of stochastic Fokker-Planck equations associated with a generalized thermodynamical formalism. Generalized thermodynamics arises in the case of complex systems experiencing small-scale constraints. In the limit of short-r...
متن کاملA structure preserving scheme for the Kolmogorov-Fokker-Planck equation
Article history: Received 11 March 2016 Received in revised form 4 November 2016 Accepted 5 November 2016 Available online 21 November 2016
متن کاملSolvability of Kolmogorov-fokker-planck Equations for Vector Jump Processes and Occupation Time on Hypersurfaces
We study occupation time on hypersurface for Markov n-dimensional jump processes. Solvability and uniqueness of integro-differential Kolmogorov-Fokker-Planck with generalized functions in coefficients are investigated. Then these results are used to show that the occupation time on hypersurfaces does exist for the jump processes as a limit in variance for a wide class of piecewise smooth hypers...
متن کاملPhi-entropy inequalities and Fokker-Planck equations
We present new Φ-entropy inequalities for diffusion semigroups under the curvature-dimension criterion. They include the isoperimetric function of the Gaussian measure. Applications to the long time behaviour of solutions to Fokker-Planck equations are given.
متن کاملOn Time-changed Gaussian Processes and Their Associated Fokker–planck– Kolmogorov Equations
This paper establishes Fokker–Planck–Kolmogorov type equations for time-changed Gaussian processes. Examples include those equations for a time-changed fractional Brownian motion with time-dependent Hurst parameter and for a time-changed Ornstein–Uhlenbeck process. The timechange process considered is the inverse of either a stable subordinator or a mixture of independent stable subordinators.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IEEE Transactions on Information Theory
سال: 1967
ISSN: 0018-9448,1557-9654
DOI: 10.1109/tit.1967.1053955