Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2007/iii/paper-81/4/ii/solution

With and , the Fokker-Planck equation becomes the probability-transport equation
Its characteristic obeys . Writing and gives
Conservation of orientation probability pushes the initially uniform density forward by this Jacobian. Thus
Since with , the deterministic alignment of an initially isotropic orientation distribution is
At , and ; the characteristic Jacobian preserves at every finite time. Its reciprocal is quadratic in , as in the suggested substitution.
To compute the mean, integrate explicitly:
Consequently
The apparent singularity at is removable: , so the initial mean is zero. At late times,
Except for the exactly downward initial orientation, which has zero probability in the initial smooth distribution, every characteristic aligns upward. The infinite-time orientation distribution is a point mass at the upward pole.

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