Talk:Fokker–Planck equation

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How to solve the F-P equation is the question.

I removed the following part because it doesn't make sense. the equation operates on a state space, not on observables. No reason to introduce macrovariables.

of position and velocity of a particle, but it can be generalized to any other observable, too.[1] It applies to systems that can be described by a small number of "macrovariables", where other parameters vary so rapidly with time that they can be treated as noise.

[edit] Relationship with stochastic differential equations

In the following equation:

D^2_{ij}(\mathbf{x},t) = \frac{1}{2} \sum_k \sigma_{ik}(\mathbf{x},t) \sigma_{kj}^\mathsf{T}(\mathbf{x},t).

\sigma_{kj}^\mathsf{T}(\mathbf{x},t) is presumably a scalar, so why the transpose? Shouldn't it just be \sigma_{jk}(\mathbf{x},t)?