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Fokker-Planck equation

From Encyclopedia of Mathematics
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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