The Fokker-Planck Equation

The Fokker-Planck equation describes how the probability distribution of a system’s state changes over time due to random processes and deterministic factors. For example, it models how particles disperse in a fluid, accounting for both drift (systematic movement) and diffusion (random spreading). It’s a mathematical tool used in physics, finance, and other fields to understand how uncertainty evolves, providing a way to predict the likelihood of different outcomes based on initial conditions and underlying random influences.