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Fokker-Planck equation

Fokker-Planck probability current

Multivariate Fokker-Planck probability current

{c}

When boundary terms vanish, integration by parts gives
$$
\frac d{dt}\langle X_k\rangle=\langle A_k\rangle,
\qquad
\frac d{dt}\langle X_kX_l\rangle
=\langle X_lA_k+X_kA_l+B_{kl}\rangle.
$$


First two moments of a multivariate Fokker-Planck equation

Past exam of the mathematics course of the University of Cambridge / 2018 / ii / Paper 3 / 13C / c / Solution

First two moments of a multivariate Fokker-Planck equation

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First two moments of a multivariate Fokker-Planck equation

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