Derivation of Fokker-Planck equation and its entropy production

Abstract

We derive the Fokker-Planck equation and its entropy production from the master equation. To this end we consider a discrete space of states where the master equation is defined and appropriate transition rates are introduced. A transition rate has two parts, one of which is the ordinary term proportional to the inverse of the spacing and the other is inversely proportional to the square of the spacing corresponding to the variance of the independent stochastic variable. In the continuous space limit, we obtain the Fokker-Planck as well as the rate of entropy production and the flux of entropy. We also consider the case where the space of states is the phase space and discuss the equations appropriate for systems in contact with several heat reservoirs and for isolated systems.