- Previous Article
- Next Article
- Table of Contents
Applied Mathematics and Optimization, Vol.42, No.2, 203-227, 2000
Dynamical systems in the variational formulation of the Fokker-Planck equation by the Wasserstein metric
R. Jordan, D. Kinderlehrer, and F. Otto proposed the discrete-time approximation of the Fokker-Planck equation by the variational formulation. It is determined by the Wasserstein metric, an energy functional, and the Gibbs-Boltzmann entropy functional. In this paper we study the asymptotic behavior of the dynamical systems which describe their approximation of the Fokker-Planck equation and characterize the limit as a solution to a class of variational problems.
Keywords:Fokker-Planck equation;Wasserstein metric;energy functional;Gibbs-Boltzmann entropy functional;dynamical systems;variational problem