 Diffusion generator

For the one-dimensional Itô equation $dX=b(X)dt+\sigma (X)dW$, the Infinitesimal generator on smooth test functions is $L=b{\partial }_x+{\sigma }^2{\partial }_{xx}/2$. The Kolmogorov backward equation is $u_t=Lu$, while its formal adjoint produces the Fokker-Planck equation.