Diffusion equation from random motion

[sinusoid]

hi all, i am a new member here. nice to meet you all.

i remember seeing a derivation of diffusion equation from the equation of motion \dot{x}=\eta(t) where \eta(t) is white noise. i can't remember where i saw this... could anyone please help me on that?

it should be something like starting with the gaussian form of noise and then inserting a delta function representing the equation of motion... but nothing more i can remember.

thanks very much!

 

[mathman]

Try a google or bing search for "diffusion equation".

 

[C. H. Fleming]

You are looking for a Langevin equation I believe.