I am trying to teach myself about multi-dimensional linear SDEs, but I am struggling to find a good source which neatly explains the Fokker-Planck equation for multi-dimensional linear SDEs, something like this: https://users.aalto.fi/~ssarkka/course_s2012/pdf/handout3.pdf.
I have been following Klebanar, which only has the Fokker-Planck equation for one-dimensional SDEs. Thanks!