A transformed path integral approach for solution of the Fokker-Planck equation

A novel path integral (PI) based method for solution of the Fokker-Planck equation is presented. The proposed method, termed the transformed path integral (TPI) method, utilizes a new formulation for the underlying short-time propagator to perform the evolution of the probability density function (PDF) in a transformed computational domain where a more accurate representation of the PDF can be ensured. The new formulation, based on a dynamic transformation of the original state space with the statistics of the PDF as parameters, preserves the non-negativity of the PDF and incorporates short-time properties of the underlying stochastic process. New update equations for the state PDF in a transformed space and the parameters of the transformation (including mean and covariance) that better accommodate nonlinearities in drift and non-Gaussian behavior in distributions are proposed (based on properties of the SDE). Owing to the choice of transformation considered, the proposed method maps a fixed grid in transformed space to a dynamically adaptive grid in the original state space. The TPI method, in contrast to conventional methods such as Monte Carlo simulations and fixed grid approaches, is able to better represent the distributions (especially the tail information) and better address challenges in processes with large diffusion, large drift and large concentration of PDF. Additionally, in the proposed TPI method, error bounds on the probability in the computational domain can be obtained using the Chebyshev's inequality. The benefits of the TPI method over conventional methods are illustrated through simulations of linear and nonlinear drift processes in one-dimensional and multidimensional state spaces. The effects of spatial and temporal grid resolutions as well as that of the diffusion coefficient on the error in the PDF are also characterized.