Making Birth-Death Processes from Backward Fokker-Planck Equations for Computing Expectations in Langevin Systems

A method to direct evaluation of expectations for Langevin systems (stochastic differential equations) is proposed. The method is based on a birth-death process which is derived using combinations of dummy variables and It{ô} formula. As a pedagogical example, a double-well system and expectations for sigmoid-type functions are used. It is shown that the proposed method has some merits from computational point of view; only one time-integration for the birth-death process gives expectations for various initial conditions in the original Langevin systems. Furthermore, the same time-integration result is available for computing various center positions of the sigmoid-type functions.

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