How can we convert a given master equation to a Fokker Planck equation.Is there any general method for this transformation?
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There is a great book on the subject, "Stochastic Methods: A Handbook" by Gardiner. There should a well-defined continuous limit for the random variable of your Markov process, the drift and diffusion terms in the Fokker Planck equation come out naturally from the transition matrix of the master equation. "System size" a.k.a. van Kampen expansion is one example of how to develop such an approximation systematically.
Slava Kashcheyevs
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Is it always possible to convert any master equation to FPE ? Is there any condition to be satisfied ? – Anu Aug 12 '15 at 19:33
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I do not think so - I think one can construct a transition matrix with sufficiently non-local jumps that would defy Fokker-Plank equation. What kind of vairable/transition matrix do you have in mind? – Slava Kashcheyevs Aug 12 '15 at 19:39
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1I think it is possible for birth death process and brownian motion master equations. – Anu Aug 12 '15 at 19:43
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The first link is dead. – GNUSupporter 8964民主女神 地下教會 Jul 04 '19 at 17:14