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Continuous stochastic processes

Rahimi Tabar, M. R ; Sharif University of Technology | 2019

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  1. Type of Document: Article
  2. DOI: 10.1007/978-3-030-18472-8_4
  3. Publisher: Springer Verlag , 2019
  4. Abstract:
  5. In this chapter we define notions of stochastic continuity and differentiability and describe Lindeberg’s condition for continuity of stochastic Markovian trajectories. We also show that the Fokker–Planck equation describes a continuous stochastic process. Finally, we derive the stationary solutions of the Fokker–Planck equation and define potential function of dynamics. © 2019, Springer Nature Switzerland AG
  6. Keywords:
  7. Fokker–Planck equation ; Lindeberg’s condition for continuity ; Mean squared continuity ; Non-differentiability of stochastic processes ; Potential function ; Stationary solutions ; Stochastic continuity
  8. Source: Understanding Complex Systems ; 2019 , Pages 31-37 ; 18600832 (ISSN)
  9. URL: https://link.springer.com/chapter/10.1007%2F978-3-030-18472-8_4