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Infinite product expansion of the Fokker-Planck equation with steady-state solution
R J Martin1, R V Craster2, M J Kearney3
1Apollo Global Management International LLP , 25 St George Street, London W1S 1FS, UK ; Department of Mathematics , Imperial College London , South Kensington, London SW7 2AZ, UK.
Abstract:
We present an analytical technique for solving Fokker-Planck equations that have a steady-state solution by representing the solution as an infinite product rather than, as usual, an infinite sum. This method has many advantages: automatically ensuring positivity of the resulting approximation, and by design exactly matching both the short- and long-term behaviour. The efficacy of the technique is demonstrated via comparisons with computations of typical examples.
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