Diffusion process: Difference between revisions

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== Mathematical definition ==

A ''diffusion

A ''diffusion process'' is a [[Markov process]] with [[Sample-continuous_process|continuous sample paths]] for which the [[Kolmogorov_equations|Kolmogorov forward equation]] is the [[Fokker-Planck equation]].<ref>{{cite web|title=9. Diffusion processes|url=http://math.nyu.edu/faculty/varadhan/stochastic.fall08/sec10.pdf|format=pdf|accessdate=October 10, 2011}}</ref>

== See also ==

*[[Sample-continuous process]]

*[[Itō diffusion]]