Past exam of the mathematics course of the University of Cambridge / 2026 / ii / Paper 3 / 13E / b / Solution

When jumps are small relative to a large population and moments exist, the Kramers-Moyal expansion through second order givesThis Fokker-Planck equation is a conservation law with vanishing boundary flux; $u$ is the drift and $D$ the diffusivity. Equal constant rates for jumps $r=\pm 1$ give pure diffusion.