Motivation The Fokker-Planck equation is a partial differential equation (PDE) which describes the evolution of the probability density function of an Ito diffusion. Since it is a PDE, it admits solutions in certain special cases and is amenable to numerical methods for PDEs in the general case. Derivation Consider the SDE \[\mathrm{d}X_{t}=a(t,X_{t})\mathrm{d}t+b(t,X_{t})\mathrm{d}W_{t}\] with bounded coefficients: (i.e., $\sup_{t,x}|a(t,x)|+\sup_{t,x}|b(t,x)|<\infty$). This requirement is us...