The linear Fokker-Planck equation for the Ornstein-Uhlenbeck process as   an (almost) nonlinear kinetic equation for an isolated N-particle system
  It is long known that the Fokker-Planck equation with prescribed constant coefficients of diffusion and linear friction describes the ensemble average of the stochastic evolutions in velocity space of a Brownian test particle immersed in a heat bath of fixed temperature. Apparently, it is not so well known that the same partial differential equation, but now with constant coefficients which are functionals of the solution itself rather than being prescribed, describes the kinetic evolution (in the infinite particle limit) of an isolated N-particle system with certain stochastic interactions. Here we discuss in detail this recently discovered interpretation. 
Michael Kiessling and Carlo Lancellotti