Solution of the multivariate Fokker–Planck equation by using a maximum path entropy principle

Abstract

This paper proposes an approach via the maximum entropy principle in order to determine the nonstationary solutions of the Fokker–Planck equation with time varying coefficients. The constraints are not the state moments (as usual) but their dynamic equations. The maximum entropy principle herein utilized is a slight extension of Jaynes’ principle, which involves the ‘‘path entropy’’ of the stochastic process.