The linear Fokker-Planck equation for the Ornstein-Uhlenbeck process as an (almost) nonlinear kinetic equation for an isolated \(n\)-particle system (Q2506285)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The linear Fokker-Planck equation for the Ornstein-Uhlenbeck process as an (almost) nonlinear kinetic equation for an isolated \(n\)-particle system |
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The linear Fokker-Planck equation for the Ornstein-Uhlenbeck process as an (almost) nonlinear kinetic equation for an isolated \(n\)-particle system (English)
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28 September 2006
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Consider a system of \(N\) particles, then it is shown that its diffusion equation, considered as a master equation, provides the linear Fokker-Planck equation. The dynamics of the marginal distribution for large values of \(N\) are studied, and one determines the infinitely many particle limit.
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kinetic theory
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Kac program
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propagation of chaos
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diffusion equation on a high-dimensional sphere
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Fokker-Planck equation
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