We introduce a stochastic diffusion equation and the Fokker-Planck equation for various matrix models including the $\mathrm{U}(N)\ifmmode\times\else\texttimes\fi{}\mathrm{U}(N)$ chiral model and lattice gauge theories. It is shown how to calculate various $\mathrm{U}(N)$ integrals using the stochastic equation. In particular, in the external-field problem, the exact large-$N$ result (in the weak-coupling region) is reproduced and a $\frac{1}{{N}^{2}}$ correction is computed. Also, the order parameter $〈\mathrm{det}U〉$ is calculated up to order $\frac{1}{{\ensuremath{\beta}}^{2}}$. In the $\mathrm{U}(N)\ifmmode\times\else\texttimes\fi{}\mathrm{U}(N)$ chiral model, the large-$N$ reduction and quenching is done in the context of stochastic quantization, and the semiclassical results of Bars, Gunaydin, and Yankielowicz for the free energy and the two-point correlation function are derived. In lattice gauge theory, a very simple way of deriving the complete Schwinger-Dyson equations from the Fokker-Planck equation is demonstrated and, as in the chiral model, a reduced, quenched stochastic equation is derived.
Read full abstract