An Explicit Solution to the Fokker-Planck Equation for an Ordinary Differential Equation†
- 1 March 1965
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 1 (3) , 201-208
- https://doi.org/10.1080/00207176508905472
Abstract
An explicit, steady–state solution is found to the Fokker–Planck equation for an nth order, ordinary linear differential equation with constant coefficients excited by a single white noise source by making use of a Liapunov function. Liapunov functions are also used to derive a more general result of Wang and Uhlenbeck.Keywords
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