I would be grateful if you let me know an application of Fokker plank equation in a financial market or introduce a related paper to me. For example, when the price of stocks in our market satisfiy the Black- Scholes model then the solution of the following boundary value problem in the domain $[0, T] \times \mathbb R^{+}$ shows the only pricing function.
$$F_t(t, s) + rs F_s(t, s) +\frac{1}{2}s^{2} \sigma^{2}(t, s)F_{ss}(t, s) − rF(t, s) = 0, \ \ F(T, s) = Φ(s).$$
But I can't interpret the solution of the Fokker Plank equation for Black Scholes model
$$dX_t = α X_t dt + σ X_t dW_t.$$
In fact I can't understand what the solution shows?
