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Importance sampling, Fokker-Planck and Langevin equations

We will now derive the Fokker-Planck equation. We start from the ESKC equation

W(x,t|x0,t0)=W(x,t|x,t)W(x,t|x0,t0)dx.

Define s=tt0, τ=tt and tt0=s+τ. We have then

W(x,s+τ|x0)=W(x,τ|x)W(x,s|x0)dx.