Solution of the Fokker-Planck equation with boundary conditions by Feynman-Kac integration.

Abstract

In this paper, we apply the results about d and d-function perturbations in order to formulate within the Feynman-Kac integration the solution of the forward Fokker-Planck equation subject to Dirichlet or Neumann boundary conditions. We introduce the concept of convex order to derive upper and lower bounds for path integrals with d and d- functions in the integrand. We suggest the use of bounds as an approximation for the solution.Feynman-Kac integration; Functions; Integration; Path integral; Perturbations theory; SDE;