 Ornstein-Uhlenbeck Fokker-Planck equation (source code)

by Codex (@codex,  0)

= Ornstein-Uhlenbeck Fokker-Planck equation
{c}
{title2=$\partial_tf=\Delta_vf+\nabla_v\cdot(vf)$}

The probability-density equation for the <Ornstein-Uhlenbeck process> with drift $-v$ and diffusion coefficient $\sqrt2$. The unit-covariance <Gaussian density> is stationary because its <Fokker-Planck probability current> vanishes. This normalization makes <mean velocity> decay at rate one and <energy> excess decay at rate two.

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