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.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
