Fokker-Planck Equation for the Density of a Diffusion Process in a Regular Open Set

Jp Chancelier (1) , Mc Delara (1) , F. Pacard (1)

1 CERGRENE - CERGRENE

To give physical meaning to the boundary conditions of parabolic partial differential equation, we introduce a diffusion process in some open set, with different boundary conditions (elastic or non-elastic reflection, stopping) and we give the equation satisfied by the density.

Domaines: Sciences de l'environnement

Jp Chancelier, Mc Delara, F. Pacard. Fokker-Planck Equation for the Density of a Diffusion Process in a Regular Open Set. Comptes rendus de l'Académie des sciences. Série I, Mathématique, 1995, 321 (9), pp.1251-1256. ⟨hal-00779874⟩