Group-invariant solutions of the Fokker-Planck equation

G. A. Nariboli

Stochastic Processes and their Applications, 1977, vol. 5, issue 2, 157-171

Abstract: Group-invariance under infinitesimal transformations is used to generate a wide class of solutions of some Fokker-Planck equations. The partial differential equation in two variables is reduced to an ordinary differential equation; reduction of the latter to standard forms is noted in most cases. Some of the known existing solutions are obtained as particular cases. Only self-similar types of solutions are discussed. The appearance of a free parameter that can be treated as an eigenvalue (or transform variable) offers flexibility in constructing new solutions. Some solutions of this parabolic equation have wave-like features. The general results can also be used to solve some types of moving-boundary problems.

Keywords: Infinitesinal; transformation; self-similar; solution (search for similar items in EconPapers)
Date: 1977
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