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Statistical Modelling and the Fokker-Planck Equation

Blekinge Tekniska Högskola/ING
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  • Mathematics - Analysis
  • Mathematics - Probability And Statistics
  • Mathematics - General
  • Fokker Planck
  • Stochastic
  • Engineering
  • Mathematics


A stochastic process or sometimes called random process is the counterpart to a deterministic process in theory. A stochastic process is a random field, whose domain is a region of space, in other words, a random function whose arguments are drawn from a range of continuously changing values. In this case, Instead of dealing only with one possible 'reality' of how the process might evolve under time (as is the case, for example, for solutions of an ordinary differential equation), in a stochastic or random process there is some indeterminacy in its future evolution described by probability distributions. This means that even if the initial condition (or starting point) is known, there are many possibilities the process might go to, but some paths are more probable and others less. However, in discrete time, a stochastic process amounts to a sequence of random variables known as a time series. Over the past decades, the problems of synergetic are concerned with the study of macroscopic quantitative changes of systems belonging to various disciplines such as natural science, physical science and electrical engineering. When such transition from one state to another take place, fluctuations i.e. (random process) may play an important role. Fluctuations in its sense are very common in a large number of fields and nearly every system is subjected to complicated external or internal influences that are often termed noise or fluctuations. Fokker-Planck equation has turned out to provide a powerful tool with which the effects of fluctuation or noise close to transition points can be adequately be treated. For this reason, in this thesis work analytical and numerical methods of solving Fokker-Planck equation, its derivation and some of its applications will be carefully treated. Emphasis will be on both for one variable and N- dimensional cases.

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