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As everyone knows that we can go from Langevin equation to Fokker-Planck equation which gives the evolution of probability density function. But what I don't understand is what is exactly the main difference between them as long as they are both give the variance (which then we can for example calculate the particle's size). I can't understand the main difference and the main use why I should use this and not that and vice versa and when I should do that.

Qmechanic
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stdscience
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    Might be useful: https://physics.stackexchange.com/q/213794/ – Simon Jan 21 '20 at 19:24
  • So let's say particle under non-white noise should be treated with Fokker-Planck equation but it can be also treated with langevin equation..or? – stdscience Jan 21 '20 at 19:48

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