Analysis of nonlinear stochastic systems by means of the Fokker–Planck equation†

Abstract

Nonlinear systems disturbed by Gaussian white noises (or by signals obtained from Gaussian white noises) can sometimes be analysed by setting up and solving the Fokker–Planck equation for the probability density in state space. In the present paper a simplified derivation of the Fokker–Planck equation is given. The uniqueness of the steady-state solution is discussed. Steady-state solutions are obtained for certain classes of system. These solutions correspond to or slightly generalize the Maxwell–Boltzmann distribution which is well known in classical statistical mechanics