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Analytical results for a Fokker-Planck equation in the small noise limit

Eric Lutz
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Abstract

We present analytical results for the lowest cumulants of a stochastic process described by a Fokker-Planck equation with nonlinear drift. We show that, in the limit of small fluctuations, the mean, the variance and the covariance of the process can be expressed in compact form with the help of the Lambert W function. As an application, we discuss the interplay of noise and nonlinearity far from equilibrium.

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Eric Lutz. 2005-02-11. Analytical results for a Fokker-Planck equation in the small noise limit. https://doi.org/10.1119/1.1949632

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