Exponential power series expansion for the propagator of general diffusion processes

Alexander N. Drozdov

Physica A: Statistical Mechanics and its Applications, 1993, vol. 196, issue 2, 283-312

Abstract: The propagator of a general diffusion process is determined by expanding its exponent in a power series of a time increment t. The expansion coefficients can be analytically evaluated from recursive relations. We are thus able to construct a covariant short time approximation for the propagator valid to any desired precision in t. Attention is given both to the mathematics and its physical interpretation. This allows us to shed further light on the results already known in the literature on quantum mechanics and theory of continuous Markov processes.

Date: 1993
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0378437193906054
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:196:y:1993:i:2:p:283-312

DOI: 10.1016/0378-4371(93)90605-4

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().