Past exam of the mathematics course of the University of Cambridge / 2018 / ii / Paper 3 / 13C / c / Solution Created 2026-09-24 Updated 2026-10-03
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Assume again that all boundary terms vanish. Multiplying the Fokker-Planck equation by and integrating by parts gives
(1)
The diffusion term vanishes after the second integration by parts.
Similarly, and
(2)
Because is symmetric,
(3)
These are the First two moments of a multivariate Fokker-Planck equation.
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