∂ ∂ t p ( x , t ) = − ∂ ∂ x [ ( μ ( x , t ) − u ) p ( x , t ) ] + ∂ 2 ∂ x 2 [ D ( x , t ) p ( x , t ) ]
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.
Fokker-Planck equation
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
Smoluchowski equation
Kolmogorov forward equation