Application of the Fokker-Planck equation

[alecrimi]

Hallo everybody.
Foreword1: I am an engineer not a physicist
Foreword2: I am reading a paper about diffusion MRI who refers to harmonic oscillator hamiltonian.

The paper sometimes mention the Fokker Planck equations. Now, I don't want yet understand the relationshipt between diffusion-hamiltonian and Fokker-Planck, but I will be happy to understand the common purpose to use Fokker-Planck equations.

The definition is : partial differential equations that describes the time evolution of the probability density function of the velocity of a particle under the influence of drag forces and random forces, as in Brownian motion. Can you give me simple applications when we need to model the evolution of hte pdf under the influence of forces as in Brownian motion (possibly different from water molecules in MRI)?

 

[bhobba]

I was keen on Mathematical Finance at one time, and its actually used there:
http://www.math.nyu.edu/faculty/kohn/pde.finance/2011/section1.pdf
http://phorgyphynance.wordpress.com/2008/06/03/black-scholes-and-Schrödinger/

Thanks
Bill