Fokker-Planck equation

Community: MathModDB

continuous-space expression

continuous-time expression

mathematical expression

partial differential equation

Available identifiers

WikidataQ891766 ScholiaQ891766MaRDI QIDQ6674263 FDOQ6674263

Also known as Smoluchowski equation, Kolmogorov forward equation

Named after

Adriaan Daniël Fokker, Max Planck

Description

For vanishing drift and for constant diffusion, the Fokker Planck equation yield's Fick's first law of diffusion.,
Note the external forcing which connects the FPE to the model order reduction and/or optimal control tasks.

$\frac{\partial }{\partial t}p(x,t)=-\frac{\partial }{\partial x}[(\mu (x,t)-u)p(x,t)]+\frac{{\partial }^2}{\partial x^2}[D(x,t)p(x,t)]$

$D$ represents mass diffusivity

$\mu$ represents drift velocity

$p$ represents probability distribution

$t$ represents time

$u$ represents control system input

$x$ represents particle position

Specializations

Fick equation

evolution of the concentration of particles PDE

References

https://en.wikipedia.org/wiki/Fokker%E2%80%93Planck_equation

Further links

Item	Property
classical time evolution	contains
Fokker Planck model	contains
Langevin equation	similar to

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