STOCHASTIC DYNAMIC APPROACH TO TRANSPORT PHENOMENA

A stochastic dynamic approach to the equations of change is introduced here, which first is applied to linear equations and is based on the formal analogy between certain forms of the equations of change and th e Fokker-Planck equation. A stochastic differential equation associate d with the Fokker-Planck equation can be derived from the latter and s olved numerically, thus yielding the solution to the original equation of change. The proper treatment of boundary conditions is essential f or the success of the method. We show that the method is able to handl e the eight fundamental types of boundary conditions (Carslaw and Jaeg er, 1959; Crank, 1975). In addition, the stochastic dynamic approach p rovides a deeper insight in the physical processes underlying transpor t phenomena than do traditional techniques.