∂P/∂t = −∂[A(x)P]/∂x + D∂²P/∂x² — drift and diffusion of probability density
The Fokker-Planck equation governs how probability distributions evolve under stochastic dynamics: drift A(x) pushes the distribution while diffusion D spreads it. The stationary solution P_st(x) ∝ exp(−U(x)/D) is the Boltzmann distribution for U′ = −A.