Random Processes Defined by Stochastic Differential and Difference Equations
Random Processes Defined by Stochastic Differential and Difference Equations
Random processes are a key component in modeling stochastic systems. They are often defined by stochastic differential or, in discrete time, difference equations (SDEs), which precisely describe how the instantaneous time-dependent and for multidimensional processes also location-dependent values vary. The solutions of SDEs are Markov processes, which is important in …