Markov processes in continuous time and space

Eric Renshaw

in Stochastic Population Processes

Published in print February 2011 | ISBN: 9780199575312
Published online September 2011 | e-ISBN: 9780191728778 | DOI:
Markov processes in continuous time and space

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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.

Keywords: Markov process; Wiener process; Fokker–Planck diffusion equation; Ornstein–Uhlenbeck process

Chapter.  19278 words.  Illustrated.

Subjects: Applied Mathematics

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