| Summary: | In the present paper, the new iterative method proposed by Daftardar-Gejji and Jafari (NIM or DJM) (2006) is used to solve the linear and nonlinear Fokker–Planck equations and some similar equations. In this iterative method the solution is obtained in the series form that converge to the exact solution with easily computed components. The results demonstrate that the method has many merits such as being derivative-free, overcome the difficulty arising in calculating Adomian polynomials to handle the nonlinear terms in Adomian decomposition method (ADM). It does not require to calculate Lagrange multiplier as in variational iteration method (VIM) and for solving a nonlinear case, the terms of the sequence become complex after several iterations. Thus, analytical evaluation of terms becomes very difficult or impossible in VIM. No needs to construct a homotopy and solve the corresponding algebraic equations as in homotopy perturbation method (HPM). In this work, the applications of the DJM for 1D, 2D, 3D linear and nonlinear Fokker–Planck equations are given and the results demonstrate that the presented method is very effective and reliable and does not require any restrictive assumptions for nonlinear terms and provide the analytic solutions. A symbolic manipulator Mathematica® 10.0 was used to evaluate terms in the iterative process. Keywords: New iterative method, Fokker–Planck equation, Kolmogorov equation, Brownian motion, Analytic solution
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