Describing the state of a stochastic process

American Journal of Physics

Volumn 66, Issue 6, 1998, Pages 533-536

  Gillespie, Daniel T ^a  

^a NAVAL AIR WARFARE CENTER   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032329104     PISSN: 00029505     EISSN: None     Source Type: Journal    
DOI: 10.1119/1.18895     Document Type: Article

References (9)

1. C. W. Gardiner, Handbook of Stochastic Methods for Physics, Chemistry and the Natural Sciences (Springer-Verlag, Berlin, 1985), pp. 42-44.
2. H. Risken, The Fokker-Planck Equation (Springer-Verlag, Berlin, 1989), pp. 25-29.
3. N. G. van Kampen, Stochastic Processes in Physics and Chemistry (North-Holland, Amsterdam, 1992), pp. 78-80.
4. J. Honerkamp, Stochastic Dynamical Systems (VCH, New York, 1994), pp. 159-170.
5. D. T. Gillespie, "The mathematics of Brownian motion and Johnson noise," Am J. Phys. 64, 225-240 (1996).
6. i) of their Gaussians.
7. This approach is implicit in my earlier article, "The multivariate Langevin and Fokker-Planck equations," Am. J. Phys. 64, 1246-1257 (1996), Sec. IV, but I very much doubt that it is original with me.
8. k in Eq. (6).
9. D. T. Gillespie, Markov Processes: An Introduction for Physical Scientists (Academic, San Diego, 1992).