Path-integral calculation of multivariate Fokker-Planck systems

A non-Monte-Carlo path-integral algorithm that is particularly adept in handling nonlinear Fokker-Planck systems is extended to multivariate systems. This algorithm is particularly accurate for systems with moderate noise.

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Bibliographic Details
Published in:Mathematical and computer modelling 1995-06, Vol.21 (11), p.61-67
Main Author: Ingber, L.
Format: Article
Language:English
Subjects:
Computational techniques
Exact sciences and technology
Fokker-Planck
Mathematical methods in physics
Monte carlo and statistical methods
Numerical approximation and analysis
Numerical differentiation and integration
Path integral
Physics
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Description
Summary:A non-Monte-Carlo path-integral algorithm that is particularly adept in handling nonlinear Fokker-Planck systems is extended to multivariate systems. This algorithm is particularly accurate for systems with moderate noise.
ISSN:0895-7177
1872-9479
DOI:10.1016/0895-7177(95)00079-H