Homework 4 (MATH 5490-01)

Due date: Friday, Nov. 11, 2016

1.

Name (Print):

Consider the Fokker-Planck equation

f x, t

F( t ) G ( t )x X
t
x

2 D( t ) f x , t
f x, t
x 2

discussed in class for the case D = 0.

a) Regarding the solution of this equation, find the function (t) for this case.
b) Find the solution f(x, t) to the Fokker-Planck equation for this case.
c) Specify the solution f(x, t) obtained in b) for the case that the initial PDF is given
by f(x0, t0) = (x0 0), where 0 is a given nonrandom value.
d) Interpret the result obtained in c).
2.

Consider that you are interested to use the linear stochastic model

X X
dX
D dW
t
t

dt

dt
discussed in class for the modeling of a case considered.
a) How is it possible to determine the parameters D and of this model in terms of
measured statistics?
b) How is it possible to provide evidence for the suitability of modeling a certain
case in terms of a linear stochastic model?