Eigenfunctions of the Multidimensional Linear Noise Fokker-Planck Operator via Ladder Operators

The eigenfunctions and eigenvalues of the Fokker-Planck operator with linear drift and constant diffusion are required for expanding time-dependent solutions and for evaluating our recent perturbation expansion for probability densities governed by a nonlinear master equation. Although well-known in...

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Bibliographic Details
Main Authors Leen, Todd K, Friel, Robert, Nielsen, David
Format Journal Article
LanguageEnglish
Published 31.08.2016
Subjects
Mathematics - Classical Analysis and ODEs
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Summary:The eigenfunctions and eigenvalues of the Fokker-Planck operator with linear drift and constant diffusion are required for expanding time-dependent solutions and for evaluating our recent perturbation expansion for probability densities governed by a nonlinear master equation. Although well-known in one dimension, for multiple dimensions the eigenfunctions are not explicitly given in the literature. We develop raising and lowering operators for the Fokker-Planck (FP) operator and its adjoint, and use them to obtain expressions for the corresponding eigenvalues and eigenfunctions. We show that the eigenfunctions for the forward and adjoint FP operators form a bi-orthogonal set, and that the eigenfunctions reduce to sums of products of Hermite functions in a particular coordinate system.
DOI:10.48550/arxiv.1609.01194