equation

Fokker–Planck equation

The Fokker-Planck equation describes the time evolution of the probability density function of the velocity of a particle under random forces.
17 related articles · 6 formulas

Description

In 1914, Dutch physicist Adriaan Fokker studied Brownian motion, and three years later Max Planck derived a general equation named after them. It is a central tool in the theory of stochastic processes. If the Boltzmann equation is about billions of colliding particles, the Fokker–Planck equation is about one particle under a hail of impacts. It describes how the probability of finding a particle in a given region smoothes out and shifts—like an ink drop spreading in flowing water. The left side is the change in probability, the right side is the sum of drift (flow) and diffusion (spreading). In financial mathematics, it is called the Black–Scholes equation, and it helps price options. The drop turns into a blurry cloud—predictably and inevitably.

History

In 1914, Adriaan Fokker derived a special case for rotational Brownian motion. In 1917, Max Planck generalized the equation in the work 'On the Theory of Fluctuation Phenomena'. Later, Andrey Kolmogorov in 1931 provided a rigorous mathematical justification. The equation infiltrated economics, biology, and quantum optics, becoming a universal language of random processes.

How it works

The probability density p(x,t) is drifted by a deterministic force (coefficient μ) and blurred by random jolts (coefficient D). Applied to analysis of diffusion processes, in radiophysics (shot noise), biophysics (ion channels), economics (option pricing models). Limitations: valid for memoryless Markov processes; for strong non-Gaussian noises, generalizations are needed (Kolmogorov–Feller equation).

In practice

Used for modeling noise in electronic circuits, stock price dynamics, and motion of microparticles in traps.

Fun fact

Max Planck used this equation to study fluctuations in quantum systems, laying the foundations of quantum stochastic dynamics.

Concept graph →

Formulas

$$\Delta v = v_e \ln\frac{m_0}{m_f}$$
The change in velocity equals exhaust velocity times log of mass ratio.
What is in the formula
ΔvvariableChange in velocity of the rocket — velocity metre per second
v_evariableEffective exhaust velocity — velocity metre per second
m_0variableInitial total mass (rocket + propellant) — mass kilogram
m_fvariableFinal total mass (after propellant expended) — mass kilogram
lnoperatorNatural logarithm of the mass ratio — natural logarithm
δv=i_{sp}g_0\ln\frac{m_0}{m_f} · 2607.02691
δv=i_{{sp}}g_0\ln\frac{m_0}{m_f} · 2607.02691v1
$$\frac{\partial P}{\partial t} = \nabla \cdot (D \nabla P)$$
Describes probability diffusion in space with diffusion coefficient D.
What is in the formula
PvariableProbability density function — probability density
tvariableTime — time second
DvariableDiffusion coefficient — diffusion coefficient metre squared per second
∇operatorSpatial gradient — nabla operator
∇·operatorSpatial divergence — divergence operator
∂/∂toperatorPartial derivative with respect to time — partial derivative
\frac{\partialp}{\partialt}=\frac{1}{2}\nabla_μ(σ^2\nabla^μp) · 2607.14626
$$P(t) \propto t^{-\alpha}$$
Probability decays as a power law in time.
What is in the formula
Pvariableprobability of survival or decay — probability
tvariabletime — time second
αvariablepower-law exponent — exponent
p(t)\proptot^{-α} · 2509.17163
τ\proptop^{α} · 2607.17359v1
$$P(x) = \lambda e^{-\lambda x}$$
Probability density function for exponential distribution.
What is in the formula
xvariableValue of the random variable — random variable value
λvariableRate parameter (inverse of mean) — rate parameter
P(x)variableProbability density at x — probability density
p(n)=2ε_ve^{-2ε_vn} · 2605.05317v2
p(e)=\frac{1}{τ}\exp(-\frac{e}{τ}) · 2606.06593v1
$$\Omega_M + \Omega_\Lambda + \Omega_k = 1$$
The sum of all density parameters equals one in cosmology.
What is in the formula
Ω_MvariableMatter density parameter (including baryonic and dark matter) — density parameter
Ω_ΛvariableCosmological constant (dark energy) density parameter — density parameter
Ω_kvariableCurvature density parameter — density parameter
ω_m^{\mathcal{d}}+ω_\lambda^{\mathcal{d}}+ω_r^{\mathcal{d}}+ω_q^{\mathcal{d}}=1 · 2605.05454v1
$$P = i \left( \Psi^* \frac{\partial\Psi}{\partial t} - \frac{\partial\Psi^*}{\partial t} \Psi \right)$$
Defines probability density in relativistic quantum mechanics.
What is in the formula
PvariableProbability density — probability density per metre cubed
\PsivariableWave function — wave function per metre cubed half
\Psi^*variableComplex conjugate of wave function — wave function conjugate per metre cubed half
tvariableTime — time second
\frac{\partial}{\paroperatorPartial derivative with respect to time — partial derivative
p(α|β_0)=i(\psi^*\frac{\partial\psi}{\partialβ_0}-\frac{\partial\psi^*}{\partialβ_0}\psi) · 2605.06093v1

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