The Fokker-Planck Equation

Dirk Helbing ()
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Dirk Helbing: ETH Zurich, Swiss Federal Institute of Technology

Chapter Chapter 6 in Quantitative Sociodynamics, 2010, pp 115-133 from Springer

Abstract: Abstract From the master equation we can derive a Fokker-Planck equation by means of a second order Taylor approximation. The Fokker-Planck equation is a linear partial differential equation of second order so that, not least thanks to the analogy to the Schrödinger equation (250), there exist many solution methods for it (27,83,84,86,95,96,241,242,259). In contrast to the master equation the Fokker-Planck equation takes into account only the first two jump moments. The mean value and covariance equations, however, agree with those of the master equation.

Keywords: Master Equation; Divergence Theorem; Pair Distribution Function; Liouville Operator; Liouville Representation (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/978-3-642-11546-2_6

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