Time-evolution of probability density rho(x,t) for SDE dX = mu(x) dt + sigma(x) dW: partial_t rho = -partial_x(mu rho) + 0.5 partial_xx(sigma^2 rho); forward Kolmogorov.
Fokker-Planck density evolution
Related concepts
- Partial differential equation (PDE)
- Girsanov theorem (change of measure)
- Rate-distortion theorem
- Li-anode + electrolyte interface (SEI)
- Milankovitch cycles (orbital forcing)
- Self-organized criticality (Bak-Tang-Wiesenfeld)
- Single-molecule fluorescence (Betzig)
- Brownian motor (Vale-Kinesin)
- DFT Kohn-Sham (1965)
- Fokker-Planck (1914-1917)
- Kramers rate (1940)
- OZ + closures (Hansen-McDonald)
- Rouse-Zimm dynamics (1953)
- Water radiolysis
- Kinesin step mechanism