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.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.