Diffusion process: Difference between revisions

Revision as of 02:11, 15 July 2018

Revision as of 23:40, 21 March 2019

Line 1:

{{Short description|solution to a stochastic differential equation}}

{{for|the marketing term|Diffusion of innovations}}

In [[probability theory]] and [[statistics]], a '''diffusion process''' is a solution to a [[stochastic differential equation]]. It is a continuous-time [[Markov process]] with [[almost surely]] [[continuous function|continuous]] sample paths. [[Brownian motion]], [[reflected Brownian motion]] and [[Ornstein–Uhlenbeck processes]] are examples of diffusion processes.