# Fokker-Planck equation

From Encyclopedia of Mathematics

An equation for the density of the transition function describing a continuous Markov process of diffusion type. The Fokker–Planck equation is the same as the forward (or direct) Kolmogorov equation. See also Diffusion process.

**How to Cite This Entry:**

Fokker-Planck equation.

*Encyclopedia of Mathematics.*URL: http://www.encyclopediaofmath.org/index.php?title=Fokker-Planck_equation&oldid=22433