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Partial differential equation
A solution to the one-dimensional Fokker-Planck equation, with both the drift and the diffusion term. In this case the initial condition is a Dirac delta function centered away from zero velocity. Over time the distribution widens due to random impulses.
The transition probability, the probability of going from to , is introduced here; the expectation can be written as
Now we replace in the definition of , multiply by and integrate over . The limit is taken on
Note now that
which is the Chapman-Kolmogorov theorem. Changing the dummy variable to , one gets
which is a time derivative. Finally we arrive to
From here, the Kolmogorov backward equation can be deduced. If we instead use the adjoint operator of , , defined such that
then we arrive to the Kolmogorov forward equation, or Fokker-Planck equation, which, simplifying the notation , in its differential form reads
Remains the issue of defining explicitly . This can be done taking the expectation from the integral form of the It?'s lemma:
The part that depends on vanished because of the martingale property.
Then, for a particle subject to an It? equation, using
it can be easily calculated, using integration by parts, that
which bring us to the Fokker-Planck equation:
While the Fokker-Planck equation is used with problems where the initial distribution is known, if the problem is to know the distribution at previous times, the Feynman-Kac formula can be used, which is a consequence of the Kolmogorov backward equation.
The stochastic process defined above in the It? sense can be rewritten within the Stratonovich convention as a Stratonovich SDE:
It includes an added noise-induced drift term due to diffusion gradient effects if the noise is state-dependent. This convention is more often used in physical applications. Indeed, it is well known that any solution to the Stratonovich SDE is a solution to the It? SDE.
The zero-drift equation with constant diffusion can be considered as a model of classical Brownian motion:
This model has discrete spectrum of solutions if the condition of fixed boundaries is added for :
It has been shown that in this case an analytical spectrum of solutions allows deriving a local uncertainty relation for the coordinate-velocity phase volume:
Here is a minimal value of a corresponding diffusion spectrum , while and represent the uncertainty of coordinate-velocity definition.
More generally, if
where and are N-dimensional random vectors, is an NM matrix and is an M-dimensional standard Wiener process, the probability density for satisfies the Fokker-Planck equation
where the third term includes the particle acceleration due to the Lorentz force and the Fokker-Planck term at the right-hand side represents the effects of particle collisions. The quantities and are the average change in velocity a particle of type experiences due to collisions with all other particle species in unit time. Expressions for these quantities are given elsewhere. If collisions are ignored, the Boltzmann equation reduces to the Vlasov equation.
Brownian motion follows the Langevin equation, which can be solved for many different stochastic forcings with results being averaged (the Monte Carlo method, canonical ensemble in molecular dynamics). However, instead of this computationally intensive approach, one can use the Fokker-Planck equation and consider the probability of the particle having a velocity in the interval when it starts its motion with at time 0.
Being a partial differential equation, the Fokker-Planck equation can be solved analytically only in special cases. A formal analogy of the Fokker-Planck equation with the Schrödinger equation allows the use of advanced operator techniques known from quantum mechanics for its solution in a number of cases. Furthermore, in the case of overdamped dynamics when the Fokker-Planck equation contains second partial derivatives with respect to all variables, the equation can be written in the form of a master equation that can easily be solved numerically .
In many applications, one is only interested in the steady-state probability distribution
, which can be found from .
The computation of mean first passage times and splitting probabilities can be reduced to the solution of an ordinary differential equation which is intimately related to the Fokker-Planck equation.
Particular cases with known solution and inversion
In mathematical finance for volatility smile modeling of options via local volatility, one has the problem of deriving a diffusion coefficient consistent with a probability density obtained from market option quotes. The problem is therefore an inversion of the Fokker-Planck equation: Given the density f(x,t) of the option underlying X deduced from the option market, one aims at finding the local volatility consistent with f. This is an inverse problem that has been solved in general by Dupire (1994, 1997) with a non-parametric solution. Brigo and Mercurio (2002, 2003) propose a solution in parametric form via a particular local volatility consistent with a solution of the Fokker-Planck equation given by a mixture model. More information is available also in Fengler (2008), Gatheral (2008) and Musiela and Rutkowski (2008).
Fokker-Planck equation and path integral
Every Fokker-Planck equation is equivalent to a path integral. The path integral formulation is an excellent starting point for the application of field theory methods. This is used, for instance, in critical dynamics.
A derivation of the path integral is possible in a similar way as in quantum mechanics. The derivation for a Fokker-Planck equation with one variable is as follows. Start by inserting a delta function and then integrating by parts:
The -derivatives here only act on the -function, not on . Integrate over a time interval ,
This equation expresses as functional of . Iterating times and performing the limit gives a path integral with action
The variables conjugate to are called "response variables".
Although formally equivalent, different problems may be solved more easily in the Fokker-Planck equation or the path integral formulation. The equilibrium distribution for instance may be obtained more directly from the Fokker-Planck equation.
^Kolmogorov, Andrei (1931). "Über die analytischen Methoden in der Wahrscheinlichkeitstheorie" [On Analytical Methods in the Theory of Probability]. Mathematische Annalen (in German). 104 (1): 415-458 [pp. 448-451]. doi:10.1007/BF01457949.
^N. N. Bogoliubov and N. M. Krylov (1939). Fokker-Planck equations generated in perturbation theory by a method based on the spectral properties of a perturbed Hamiltonian. Zapiski Kafedry Fiziki Akademii Nauk Ukrainian SSR 4: 81-157 (in Ukrainian).