Fokker-Planck equation

Community: MathModDB

continuous-space expression	continuous-time expression	mathematical expression

Available identifiers

WikidataQ891766 ScholiaQ891766MaRDI QIDQ6674263

partial differential equation describing the dynamics of a probability density of the velocity of a particle under the influence of drag forces and random forces, named after Adriaan Daniël Fokker, Max Planck

Also known as Smoluchowski equation, Kolmogorov forward equation

Description

For vanishing drift and 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.

Defining Formula: $\frac{\partial}{\partial t} p (x, t) = - \frac{\partial}{\partial x} [(μ (x, t) - u) p (x, t)] + \frac{\partial^{2}}{\partial x^{2}} [D (x, t) p (x, t)]$
$D$ represents mass diffusivity
$μ$ represents drift velocity
$p$ represents probability distribution
$t$ represents time
$u$ represents control system input
$x$ represents particle position

Mathematical expressions specializing Fokker-Planck equation

Fick equation

Described at:

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

Further items linking to Fokker-Planck equation

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

This page was built for formula: Fokker-Planck equation