A moment approach to analytic time-dependent solutions of the Fokker-Planck equation with additive and multiplicative noise

An efficient method is presented as a means of an approximate, analytic timedependent solution of the Fokker-Planck equation (FPE) for the linear Langevin model subjected to additive and multiplicative noise. We have assumed that the dynamical distribution has the same structure as the exact stationary one and that its parameters are expressed in terms of first and second moments, whose equations of motion are determined by the FPE. The analytical moment method is applied to three Langevin models. Dynamical distributions in response to applied input signal and force calculated by our moment method are in good agreement with those obtained by the partial difference equation method. As an application of our method, we present the time-dependent Fisher information for the inverse-gamma distribution which is realized for the Langevin model subjected to multiplicative noise only. Advantage and disadvantage of our moment method have been discussed. PACS No. 05.10.Gg, 89.70.Cf E-mail address: [email protected]