Diffusion equation from random motion

  • Thread starter sinusoid
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  • #1
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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!!
 

Answers and Replies

  • #2
mathman
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Try a google or bing search for "diffusion equation".
 
  • #3
You are looking for a Langevin equation I believe.
 

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