Lecture

Fokker Planck Equation: Transition Probability and SDE

Description

This lecture covers the Fokker Planck equation, focusing on the transition probability and the Stochastic Differential Equation (SDE). It explains the computation and properties of the transition probability, illustrating how it obeys certain rules. The lecture delves into the details of the SDE process and its relation to the Fokker Planck equation, providing insights into the probabilistic nature of the system.

In MOOCs (2)

Official source

https://mediaspace.epfl.ch/media/0_36zo61vp

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