A sequence solution to the Fokker-Planck equation.

Abstract

In this paper a new approach to nonlinear system analysis based on the Fokker-Planck equation is developed. The development begins as a modification of the parametrix method of partial differential equation theory and provides a sequence solution to the multidimensional time-varying Fokker-Planck equation. This sequence is simplified for the case where only a steady-state solution or a solution for the variance of a particular combination of states is desired. Equations are presented in a form suitable for obtaining numerical results using a digital computer.