Computation of Fokker-Planck equation
Stephen S.‐T. Yau · Quarterly of Applied Mathematics · 2004
In plasma physics, the interaction of radio-frequency waves with a plasma is described by a Fokker-Planck equation with an added quasilinear term. In nonlinear filtering with conditional probability density of the state x t {x_t} given the observation { y ( s ) : 0 ≤ s ≤ t } \left \{ {y\left ( s \right ):0 \le s \le t} \right \} is also described by a Fokker-Planck equation with an added first order term. Method for solving Fokker-Planck equation by means of ordinary differential equations is discussed.