Process with delta-correlated cumulants

N.G. van Kampen

Physica A: Statistical Mechanics and its Applications, 1980, vol. 102, issue 3, 489-495

Abstract: In a recent paper1) a differential equation was studied which involves a stochastic process having the property that all its cumulants are delta-correlated. It is here shown that such processes consist of a random sequence of delta functions with random coefficients. As a consequence the solutions of the differential equation are Markov processes, whose master equation can be constructed. From it closed equations for the successive moments may be obtained, and the auto-correlation is determined, in agreement with the results of reference 1. Some generalizations are given in Appendices B and C.

Date: 1980
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:102:y:1980:i:3:p:489-495

DOI: 10.1016/0378-4371(90)90178-U

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