The Variational Formulation of the Fokker--Planck Equation

Source abstract

The Fokker--Planck equation, or forward Kolmogorov equation, describes the evolution of the probability density for a stochastic process associated with an Ito stochastic differential equation. It pertains to a wide variety of time-dependent systems in which randomness plays a role. In this paper, we are concerned with Fokker--Planck equations for which the drift term is given by the gradient of a potential. For a broad class of potentials, we construct a time discrete, iterative variational scheme whose solutions converge to the solution of the Fokker--Planck equation. The major novelty of this iterative scheme is that the time-step is governed by the Wasserstein metric on probability measures. This formulation enables us to reveal an appealing, and previously unexplored, relationship between the Fokker--Planck equation and the associated free energy functional. Namely, we demonstrate that the dynamics may be regarded as a gradient flux, or a steepest descent, for the free energy with respect to the Wasserstein metric.