Composite stochastic processes

N.G. van Kampen

Physica A: Statistical Mechanics and its Applications, 1979, vol. 96, issue 3, 435-453

Abstract: Certain problems in physics and chemistry lead to the definition of a class of stochastic processes. Although they are not Markovian they can be treated explicitly to some extent. In particular, the probability distribution for large times can be found. It is shown to obey a master equation. This demonstrates how a non-Markovian process can be approximated on a course time scale by a Markov description. The conditions for this approximation to be valid are discussed.

Date: 1979
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:96:y:1979:i:3:p:435-453

DOI: 10.1016/0378-4371(79)90005-0

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