Approximate eigenfunction analysis of fi
โ
M. Yar; J.K. Hammond
๐
Article
๐
1986
๐
Elsevier Science
๐
English
โ 458 KB
For stochastic systems excited by white Gaussian noise, the transition probability density is the solution to the Fokker-Planck-Kolmogorov (FPK) equation. If the system is non-linear the resulting FPK equation can be solved exactly only in a few special cases. Here an approximate expression is deve