Markov Processes

Kiyosi Itô

Chapter 2 in Stochastic Processes, 2004, pp 93-178 from Springer

Abstract: Abstract Let us consider a particle moving in a space 5, called the state space. We assume the Markovian character of the motion that the particle that starts at x at present will move into B ⊂ S with probability p t (x,B) after time t irrespectively of its past motion; {p t (x,B)} t,x,B are called the transition probabilities of the motion. The time parameter moves in T = [0, ∞).

Keywords: Brownian Motion; Markov Process; Dirichlet Problem; Markov Property; Exit Time (search for similar items in EconPapers)
Date: 2004
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DOI: 10.1007/978-3-662-10065-3_3

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