A stochastic ansatz and its relationship with the dichotomic Markov process

It is shown that a simple stochastic ansatz for the solution of a stochastic differential equation leads to exact results for the dichotomic Markov process. This has implications for more complex problems where the ansatz leads to a simplified approach to the solution of stochastic equations in engineering and applied physics.

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Year of publication:	2008
Authors:	Williams, M.M.R.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 387.2008, 21, p. 4997-5002
Publisher:	Elsevier
Subject:	Random differential equations \| Markov process \| Transport theory

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010590621