Bivariate Fokker-Planck equation

We shall call this a quasilinear Fokker-Planck equation, to indicate that it has the form (1.1) with constant B but nonlinear It is clear that this equation can only be correct if F(X) varies so slowly that it is practically constant over a distance in which the velocity is damped. On the other hand, the Rayleigh equation (4.6) involves only the velocity and cannot accommodate a spatial inhomogeneity. It is therefore necessary, if F does not vary sufficiently slowly for (7.1) to hold, to describe the particle by the joint probability distribution P(X, V, t). We construct the bivariate Fokker-Planck equation for it. 

A one-dimensional Fokker-Planck equation was used by Smoluchowski [19], and the bivariate Fokker-Planck equation in phase space was investigated by Klein [21] and Kramers [22], Note that, in essence, the Rayleigh equation [23] is a monovariate Fokker-Planck equation in velocity space. Physically, the Fokker-Planck equation describes the temporal change of the pdf of a particle subjected to diffusive motion and an external drift, manifest in the second- and first-order spatial derivatives, respectively. Mathematically, it is a linear second-order parabolic partial differential equation, and it is also referred to as a forward Kolmogorov equation. The most comprehensive reference for Fokker-Planck equations is probably Risken s monograph [14]. 

KRAMERS EQUATION—ARBITRARY FRICTION REGIME. In the presence Of inertial effects, the one-dimensional motion is determined by a bivariate Fokker-Planck equation. 

It is a bivariate quasilinear Fokker-Planck equation of the form (6.1) with semi-definite fJ. 

Exercise. A pendulum obeying the equation Mx = — sin x is suspended in air, which causes damping and fluctuations. Show that it obeys the bivariate nonlinear Fokker-Planck equation, or Kramers equation,... 

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