A moment approach to analytic time-dependent solutions of the Fokker-Planck equation 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.