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The Fokker-Planck equation: methods of solution

The Fokker-Planck equation: methods of solution and applications. H. Risken

The Fokker-Planck equation: methods of solution and applications


The.Fokker.Planck.equation.methods.of.solution.and.applications.pdf
ISBN: 0387130985,9780387130989 | 485 pages | 13 Mb


Download The Fokker-Planck equation: methods of solution and applications



The Fokker-Planck equation: methods of solution and applications H. Risken
Publisher: Springer-Verlag




The Fokker-Planck equation: methods of solution and applications. Asymptotic Methods for the Fokker-Planck Equation and the Exit Problem in. Chapter 8 discusses A table of applications of supersymmetry in theoretical physics is also included. Hypoelliptic Estimates and Spectral Theory for Fokker-Planck Operators and Witten Laplacians. The treatment of Fokker–Planck equations with changes of variable is reviewed, followed by the transformation of diffusion equations into Schrödinger-like form, the application of supersymmetric quantum mechanics We investigate solutions of the Fokker–Planck diffusion equation with spatiotemporally varying drift and diffusion coefficients, .. The main topics are the Witten model, supersymmetric classical mechanics, shape-invariant potentials and exact solutions, supersymmetry in classical stocastic dynamics and supersymmetry in the Pauli & Dirac equations. The Fokker-Planck Equation Methods of Solution and Applications. Cooper, Klein and Sukhatme (1995) give a good general introduction to supersymmetry methods in quantum mechanics. Then, using a non-linear Fokker-Planck equation, one adds a SV component and for any given set of SV parameters computes a new "leveraged local volatility surface" that still matches the vanillas, while accommodating SV. The SLV Calibrator then applies to this PDE solution a Levenberg-Marquardt optimizer and finds the (time bucketed) SV parameters that yield a maximally flat leveraged local volatility surface. Asymptotic Methods for the Fokker-Planck Equation and the Exit. Topics include: supersymmetry in the Fokker-Planck & Lengevin equations and the implications of good/broken supersymmetry. Encompassing both theory and practice, this original text provides a unified approach to the analysis and generation of continuous, impulsive and mixed random processes based on the Fokker-Planck equation for Markov processes.

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