$x(t)\in\mathbb R$ã®æéçºå±ããã€ãã®éç·åœ¢ã©ã³ãžã¥ãã³æ¹çšåŒ $$ \dot x(t) = f(x(t)) + R(t) $$ ã§è¡šããããšããã ããã§ã$f:\mathbb R\to\mathbb R$ã¯é¢æ°ã$R:\mathbb R\to\mathbb R$ã¯ã©ã³ãã åã§ããã $R(t)$ã¯ã€ãã®ä»®å®ãæºãããšããã
$R(t)$ã¯ã¬ãŠã¹éçšã ããªãã¡ã$t_1,\ldots,t_k$ãéžãã ãšãã$R(t_1,\ldots,t_k):=(R(t_1),\ldots,R(t_k))$ã倿¬¡å
æ£èŠååžã«åŸãã $\mathbb E[R(t)] = 0. $ $\mathbb E[R(t)R(tâ)] = D\delta(t-tâ)$, ãã ã$D$ã¯æ£ã®å®æ°ã $x(t)$ãš$R(tâ)$ã$t<tâ$ã§ç¬ç«ã æå»$t$ã«$x(t)$ã$[x,x+dx]$ã«ãã確çã$p(x,t)dx$ãšå®çŸ©ããã $p(x,t)$ãååžé¢æ°ãšããã $p(x,t)$ã¯ã€ãã®ä»®å®ãæºãããšããã
$x\to\pm\infty$ã§$p(x,t)\to 0. $ $x\to\pm\infty$ã§$\frac{\partial p(x,t)}{\partial x}\to 0. $ ãã®ãšãã$p(x,t)$ã¯ã€ãã®ãã©ãã«ãŒãã©ã³ã¯æ¹çšåŒã«åŸãã $$ \frac{\partial p(x,t)}{\partial t} = \left( -\frac{\partial }{\partial x}f(x) + \frac{\partial^2}{\partial x^2}\frac{D}{2} \right) p(x,t) $$
蚌æã¯ããããªãšããã«èŒã£ãŠãã ããšã§è¿œèšããããã