A brief, opinionated introduction to the Fokker-Planck equation
A brief, opinionated introduction to the Fokker-Planck equation#
Notes for the INM-6 book club of 12 August 2022, given by Alexandre René and Alexander van Meegen.
The presentation is split into three parts:
Derivation of the Fokker-Planck equation (FPE) from the Kramers-Moyal expansion
Tight relationship between stochastic differential equations and the FPE.
Picturing probability flow as advection-diffusion in a fluid.
The first parts are based on the classic text by Risken [1996].
![Risken Fokker-Planck eq - title page](_images/title-page-Risken-2nd-ed.png)