Talk:Fokker–Planck equation

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How to solve the F-P equation is the question.

I removed the following part because it doesn't make sense. the equation operates on a state space, not on observables. No reason to introduce macrovariables.

of position and velocity of a particle, but it can be generalized to any other observable, too.[1] It applies to systems that can be described by a small number of "macrovariables", where other parameters vary so rapidly with time that they can be treated as noise.

  1. ^ Leo P. Kadanoff (2000). Statistical Physics: statics, dynamics and renormalization. World Scientific. ISBN 9810237642. 

Relationship with stochastic differential equations[edit]

In the following equation:

D^2_{ij}(\mathbf{x},t) = \frac{1}{2} \sum_k \sigma_{ik}(\mathbf{x},t) \sigma_{kj}^\mathsf{T}(\mathbf{x},t).

\sigma_{kj}^\mathsf{T}(\mathbf{x},t) is presumably a scalar, so why the transpose? Shouldn't it just be \sigma_{jk}(\mathbf{x},t)?

The meaning of \sigma_{kj}^\mathsf{T}(\mathbf{x},t) is (\sigma^\mathsf{T})_{kj}(\mathbf{x},t) = \sigma_{jk}(\mathbf{x},t). Either way, the previous article page was wrong (it was \sigma_{ik}\sigma_{kj} instead of \sigma_{ik}\sigma_{jk}) —Preceding unsigned comment added by (talk) 21:48, 27 May 2009 (UTC)

Computational considerations[edit]

Text says "..instead of this computationally intensive approach, one can use the Fokker–Planck equation..", but is the following information below relevant/new & can appropriate text be put in by someone qualified to do so? (Is it a non-computationally intensive approach, aswell as not being necessary to use the Fokker–Planck equation?) It is from a citation for Prof W.T.Coffey (author of a book on The Langevin Equation) when he became a Fellow of the American Physical Society in 1999: "Coffey, William Thomas [1999] Trinity College Dublin. Citation: For development of new methods for the solution of the nonlinear Langevin equation without the use of the Fokker-Planck equation, allowing the exact calculation of correlation times and mean first passage times." —Preceding unsigned comment added by (talk) 15:55, 29 April 2011 (UTC)

Notes, references, books[edit]

Currently, footnotes are lumped together with references. This looks very bad aesthetically. And then there is a section on books. I propose to introduce a "formal" footnotes section and then to merge the books with the other references. --Михал Орела (talk) 10:40, 10 December 2009 (UTC)

Sounds good. Plastikspork ―Œ(talk) 16:55, 10 December 2009 (UTC)


Casually perusing the article -- I noticed that the formulation isn't what I expected. For example, in Karatzas and Shreve on p. 282, the F-P is given by,

\frac{\partial}{\partial t}\Gamma(t; x, y) = \mathcal{A}^{\star} \Gamma(t; x, y),
(\mathcal{A}^{\star} f)(y) = \frac{1}{2} \sum_{i=1}^{d} \sum_{k=1}^d \frac{\partial^2}{\partial y_i \partial y_k}[a_{ik}(y) f(y)] - \sum_{i=1}^d \frac{\partial}{\partial y_i} [b_i(y) f(y)]. 

where dX_t=b(t,X_t)dt+\sigma(t,X_t)dW_t and a_{ik}(t,x)=\sum_{j=1}^r \sigma_{ij} \sigma_{kj}(t,x).  

See also the formulation in Kolmogorov backward equations (diffusion). It appears conventional to include a factor of \frac{1}{2} in the definition of the PDE (as opposed to including it in the diffusion term of D_2 as in the present article. Because considerable work has gone into putting the present formulation, could someone comment on why the particular convention was chosen? I suspect that the convention chosen to facilitate the path-integral formulation -- but I don't have a copy of Zinn-Justin handy.

Consequently, the first formula should probably be modified to dX_t = D_1(X_t,t)dt + \sqrt{{\color{red}2\cdot}D_2(X_t,t)}dW_t. Aoschweiger (talk) 11:56, 23 November 2011 (UTC)

This typo still exists in the article. Almost two months later ... I'm going to go ahead and add Aoschweiger's suggestion, since I generally don't appreciate glaring mistakes in wiki pages. IMO, there's no reason to ever introduce the functions D_1 and D_2, since they only introduce confusion. I would lead with the multi-dimensional Ito equation with mu and sigma as the drift and diffusion and go from there (ala the first comment). If no one comments in the next couple of months, I'll make those changes. bradweir (talk) 21:18, 9 January 2012 (UTC)

I have the impression that the first formulation is incorrect: if the process is given by dX_t = D_1(X_t,t)dt + \sqrt{2\cdot D_2(X_t,t)}dW_t then the correct form of the F-P equation should be \frac{\partial}{\partial t}f(x,t)=-\frac{\partial}{\partial x}\left[ D_{1}(x,t)f(x,t)\right] +\frac{\partial^2}{\partial x^2}\left[ D_{2}(x,t)f(x,t)\right]. Marco aita (talk) 23:13, 4 March 2012 (UTC)

Confusing sentence in the introduction[edit]

I find the following sentence very confusing:

"is also known as the Kolmogorov forward equation (diffusion), named after Andrey Kolmogorov, who first introduced it in a 1931 paper."

It seems to imply that Kolmogorov was the person who first introduced the concept which I don't think is the case. Shouldn't it say that Kolmogorov discovered the concept independently in 1931 instead? Sprlzrd (talk) 20:47, 20 April 2015 (UTC)