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Homework 4 (MATH 5490-01) Name (Print) : Due Date: Friday, Nov. 11, 2016

This homework assignment involves solving a Fokker-Planck equation and interpreting the results. It also involves determining parameters for a linear stochastic model from measured statistics and evaluating the suitability of using such a model. Specifically, the 3 tasks are: 1) Find the function β(t) and solution f(x,t) for the given Fokker-Planck equation with D=0, and specify the solution for a given initial PDF. 2) Determine the parameters D and τ for a linear stochastic model in terms of measured statistics. 3) Evaluate how to provide evidence for suitably modeling a case with a linear stochastic model.

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65 views1 page

Homework 4 (MATH 5490-01) Name (Print) : Due Date: Friday, Nov. 11, 2016

This homework assignment involves solving a Fokker-Planck equation and interpreting the results. It also involves determining parameters for a linear stochastic model from measured statistics and evaluating the suitability of using such a model. Specifically, the 3 tasks are: 1) Find the function β(t) and solution f(x,t) for the given Fokker-Planck equation with D=0, and specify the solution for a given initial PDF. 2) Determine the parameters D and τ for a linear stochastic model in terms of measured statistics. 3) Evaluate how to provide evidence for suitably modeling a case with a linear stochastic model.

Uploaded by

Vasanth Aradhya
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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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?

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