Small-time expansion of the Fokker-Planck kernel for space and time dependent diffusion and drift coefficients

Abstract

We study the general solution of the Fokker-Planck equation in d dimensions with arbitrary space and time dependent diffusion matrix and drift terms. We show how to construct the solution for arbitrary initial distributions as an asymptotic expansion for small time. This generalizes the well-known asymptotic expansion of the heat kernel for the Laplace operator on a general Riemannian manifold. We explicitly work out the general solution to leading and next-to-leading order in this small-time expansion, as well as to next-to-next-to-leading order for vanishing drift. We illustrate our results on a several examples.