Stochastic solution of nonlinear and nonhomogeneous evolution problems by a differential Kolmogorov equation
Abstract
A large class of physically important nonlinear and nonhomogeneous evolution problems, characterized by advection-like and diffusion-like processes, can be usefully studied by a time-differential form of Kolmogorov's solution of the backward-time Fokker-Planck equation. The differential solution embodies an integral representation theorem by which any physical or mathematical entity satisfying a generalized nonhomogeneous advection-diffusion equation can be calculated incrementally in time. The utility of the approach for tackling nonlinear problems is illustrated via solution of the noise-free Burgers and related Kardar-Parisi-Zhang (KPZ) equations where it is shown that the differential Kolmogorov solution encompasses, and allows derivation of, the classical Cole-Hopf and KPZ transformations and solutions. A second example, illustrating application of this approach to nonhomogeneous evolution problems, derives the Feynman-Kac formula appropriate to a Schrodinger-like equation.
Keywords
Cite
@article{arxiv.0708.3202,
title = {Stochastic solution of nonlinear and nonhomogeneous evolution problems by a differential Kolmogorov equation},
author = {R. G. Keanini},
journal= {arXiv preprint arXiv:0708.3202},
year = {2007}
}
Comments
15 pages, 2 figures, submitted SIAM J. App. Math