A moment approach to analytic time-dependent solutions of the Fokker-Planck equation with additive and multiplicative noise

TL;DR

This paper introduces a moment-based analytical approach to solve the time-dependent Fokker-Planck equation with additive and multiplicative noise, providing accurate dynamical distributions and Fisher information calculations.

Contribution

The paper presents a novel moment method that approximates time-dependent solutions of the Fokker-Planck equation using moments, improving analytical tractability.

Findings

Dynamical distributions match well with partial difference equation results.

Method effectively computes time-dependent Fisher information for inverse-gamma distribution.

Approach simplifies analysis of stochastic systems with additive and multiplicative noise.

Abstract

An efficient method is presented as a means of an approximate, analytic time-dependent solution of the Fokker-Planck equation (FPE) for the Langevin model subjected to additive and multiplicative noise. We have assumed that the dynamical probability distribution function has the same structure as the exact stationary one and that its parameters are expressed in terms of first and second moments, whose equations of motion are determined by the FPE. Model calculations have shown that dynamical distributions in response to applied signal and force calculated by our moment method are in good agreement with those obtained by the partial difference equation method. As an application of our method, we present the time-dependent Fisher information for the inverse-gamma distribution which is realized in the FPE including multiplicative noise only.