For a sufficiently regular unit-mass solution, the Ornstein-Uhlenbeck Fokker-Planck equation is . Integration by parts proves the displayed identity. Consequently relative entropy decreases, and its dissipation is relative Fisher information.
Past exam of the mathematics course of the University of Cambridge 2015 iii Paper 8 3 a Solution Created 2026-10-03 Updated 2026-10-06
For the normalized standard Gaussian density,The two terms cancel, so the Ornstein-Uhlenbeck Fokker-Planck equation has stationary density for a Fokker-Planck equationEquivalently its Fokker-Planck probability current vanishes identically. The normalization follows from the Gaussian integral in each coordinate.
A probability density left unchanged by the Fokker-Planck equation . Equivalently its Fokker-Planck probability current has zero divergence; the current itself need not vanish. For the Ornstein-Uhlenbeck Fokker-Planck equation, the normalized standard Gaussian density has zero current and is stationary.