Generalizations and extensions of the Fokker- Planck-Kolmogorov equations
Author:
- R. PawulaRPR. Pawula
- 1 January 1967
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 13 (1) , 33-41
Abstract
In this paper, the classical Fokker-Planck-Kolmogorov equations are generalized to hold for conditional probability density functions of arbitrary random processes. Conditions are derived under which the generalized equations are of finite order both for one-dimensional and for vector random processes. An extension of the generalized equations which overcomes degeneracy occurring in the steady-state case is also presented.Keywords
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