Markov processes in continuous time and space

Abstract

Having dealt with processes in discrete space, and discrete and continuous time, this chapter investigates Markov processes in continuous space and time. It follows a natural progression through the Wiener process, the Fokker–Planck diffusion equation and the Ornstein–Uhlenbeck process, and tracks the relationships between them. When barriers are introduced theoretical development is not straightforward, so care needs to be taken when constructing solutions.