Fokker-Planck Equation OR Ito Equation

After one week's effort, the time evolution of the probability density function of an Ornstein-Uhlenbeck Process has been figured out.

Ornstein Uhlenbeck Process can be described by the Ito equation, dx = -axdt + sigma* dw.

The corresponding Fokker Planck Equation is :The solution to this Fokker-Planck Equation is what I did this week. It should be useful to researchers whose major is related to Finance Engineering.

Those who are interested in this solution, can send me an email.