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Alternative description of stochastic processes in nonlinear systems. “Kinetic form” of master and Fokker-Planck equations

✍ Scribed by Yu.L. Klimontovich

Publisher: Elsevier Science
Year: 1992
Tongue: English
Weight: 446 KB
Volume: 182
Category: Article
ISSN: 0378-4371
DOI: 10.1016/0378-4371(92)90233-g

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✦ Synopsis

An alternative description of stochastic processes in nonlinear systems is considered. It is shown that among the possible forms of the Fokker-Planck and the Langevin equations (Ito, Stratonovich, and kinetic forms) the kinetic form is more natural from the point of view of the statistical theory. A new form of the master equation for one-step processes is proposed which is in agreement with the kinetic form of the Fokker-Planck equation. Some concrete examples are considered.

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