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A short-time drift propagator approach to the Fokker–Planck equation
Mangthas Wisit,Ngamsaad Waipot 한국물리학회 2024 THE JOURNAL OF THE KOREAN PHYSICAL SOCIETY Vol.84 No.3
The Fokker–Planck equation is a partial diferential equation that describes the evolution of a probability distribution over time. It is used to model a wide range of physical and biological phenomena, such as difusion, chemical reactions, and population dynamics. Solving the Fokker–Planck equation is a difcult task, as it involves solving a system of coupled nonlinear partial diferential equations. In general, analytical solutions are not available and numerical methods must be used. In this research, we propose a novel approach to the solution of the Fokker–Planck equation in a short time interval. The numerical solution to the equation can be obtained iteratively using a new technique based on the short-time drift propagator. This new approach is diferent from the traditional methods, as the state-dependent drift function has been removed from the multivariate Gaussian integral component and is instead presented as a state-shifted element. We evaluated our technique employing a fundamental Wiener process with constant drift components in both one- and two-dimensional space. The results of the numerical calculation were found to be consistent with the exact solution. The proposed approach ofers a promising new direction for research in this area.