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Diffusion Equation, expectation values

With the probability distribution function w(x,t)dx we can evaluate expectation values such as the mean distance x(t)=xw(x,t)dx, or x2(t)=x2w(x,t)dx, which allows for the computation of the variance σ2=x2(t)x(t)2. Note well that these expectation values are time-dependent.