Laplace, Fourier, and stochastic diffusion (Q988498)

Stochastic diffusion attained prominence with Albert Einstein's 1905 work on motion of colloidal particles in water. Central to Einstein's contribution was an equation, analogous to Fourier's heat equation, with the dependent variable being probability density, rather than temperature, which was introduced a century earlier by Pierre Simon Laplace as part of his major work on probability theory, what we now call the Central Limit Theorem. In the present paper the author explores the earlier history of stochastic diffusion due to Laplace and Fourier.