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The Fokker-Planck Equation

In: Quantitative Sociodynamics

Author

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  • Dirk Helbing

    (ETH Zurich, Swiss Federal Institute of Technology)

Abstract

From the master equation we can derive a Fokker-Planck equation by means of a second order Taylor approximation. The Fokker-Planck equation is a linear partial differential equation of second order so that, not least thanks to the analogy to the Schrödinger equation (250), there exist many solution methods for it (27,83,84,86,95,96,241,242,259). In contrast to the master equation the Fokker-Planck equation takes into account only the first two jump moments. The mean value and covariance equations, however, agree with those of the master equation.

Suggested Citation

  • Dirk Helbing, 2010. "The Fokker-Planck Equation," Springer Books, in: Quantitative Sociodynamics, edition 2, chapter 0, pages 115-133, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-11546-2_6
    DOI: 10.1007/978-3-642-11546-2_6
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