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The Fokker-Planck Equation: Methods of Solutions and Applications (Springer Series in Synergetics) [Paperback]

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Item description for The Fokker-Planck Equation: Methods of Solutions and Applications (Springer Series in Synergetics) by H. Risken & Till Frank...

This book deals with the derivation of the Fokker-Planck equation, methods of solving it and some of its applications. Various methods such as the simulation method, the eigenfunction expansion, numerical integration, the variational method, and the matrix continued-fraction method are discussed. This is the first time that this last method, which is very effective in dealing with simple Fokker-Planck equations having two variables, appears in a textbook. The methods of solution are applied to the statistics of a simple laser model and to Brownian motion in potentials. It is shown that the solution of the equation for Brownian motion in a variety of potentials can be expressed in terms suitable for evaluation on a computer. A supplement is included, containing a short review of new material together with some recent references. The book should be very useful to graduate students in physics, chemical physics, and electrical engineering, and also to research workers in these fields.

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Item Specifications...

Pages   472
Est. Packaging Dimensions:   Length: 0.75" Width: 6.25" Height: 9.5"
Weight:   1.65 lbs.
Binding  Softcover
Release Date   Sep 17, 1996
Publisher   Springer
ISBN  354061530X  
ISBN13  9783540615309  

Availability  0 units.

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12Books > Subjects > Science > Physics > Mathematical Physics

Reviews - What do customers think about The Fokker-Planck Equation: Methods of Solutions and Applications (Springer Series in Synergetics)?

Rigorous book   Dec 28, 2006
This book is a classical reference in the subject of stochastic dynamics. It is a graduate level book written in clear and concise language. It covers all the basics about Langevin and Fokker-Planck equations (Chapters 3 and 4). In these chapters, Moyal expansion, Ito and Stratonovich interpretation of stochastic processes is presented carefully. Then they move on to study various methods of solving FP equation in the next 7 chapters. In the final chapter, FP equation and its application to Laser is discussed.

I recommend reading this book along with Gardiner's book (Handbook of Stochastic Methods) to anyone who wants to learn about stochastic dynamics seriously.
A good book on a difficult subject.  Mar 15, 2004
I got the impression that there are very few good textbooks on the subject of random processes in continuous time and the Fokker-Planck equation, which are accessible for physicists. In this book the subject presented in a manner that I thought to be a good compromise between mathematical rigor and physical intuition. For example to the spirit of the book, white noise is introduced both from the point of view of a physicist (it has a very short correlation time etc) and from the point of view of a mathematician (as the "derivative" of a Wiener process). While I found the book not very friendly or easy to read, it was one of my main sources for self-learning this subject during my Ph. D. work. I found the book three years ago, own it for two years and keep learning from it until today. I recommend the book very much.

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