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Stochastic differential equations: loss ...

Ryter, Dietrich...

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Stochastic differential equations: loss of the Markov property by multiplicative noise by Ryter, Dietrich ( Author )

Content Provider	Lemonjar Open Access
Publisher	Australian National University
Publication Date	08-08-2023
Summary	The solutions of SDEs with multiplicative noise are not Markovian. On a coarse-grained time scale they still are, but only in the "anti-Ito" case. This allows a simple computation of the most likely path. Any density peak moves along such a path, and its shape evolves according to further analytical formulas. This even provides some new insights into the asymptotic densities for large times, e.g. the criterion for attaining a quiescent steady state.
ISBN	-
Item Type	Article
File Type	pdf
File Size	30.00 KB
Language	English
Subjects	-
Unlimited	MYR 0.01
Total read	-
URL	http://arxiv.org/abs/1606.07464

Citation

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AMA 11th EditionReferences

Ryter, Dietrich. Stochastic differential equations: loss of the Markov property by multiplicative noise. Australian National University. August 08, 2023. Accessed October 02, 2025. https://online.provdatabase.com/cite/13208

APA 7th EditionReferences

Ryter, Dietrich. (2023). Stochastic differential equations: loss of the Markov property by multiplicative noise. Australian National University. https://online.provdatabase.com/cite/13208

Chicago 17th EditionReferences

Ryter, Dietrich. Stochastic differential equations: loss of the Markov property by multiplicative noise. Australian National University. 2023. https://online.provdatabase.com/cite/13208

HarvardReferences

Ryter, Dietrich. (2023). Stochastic differential equations: loss of the Markov property by multiplicative noise. [Online]. Australian National University. Available from: https://online.provdatabase.com/cite/13208. (Accessed 02 October 2025).

Harvard AustraliaReferences

Ryter, Dietrich, 2023, Stochastic differential equations: loss of the Markov property by multiplicative noise, Australian National University, viewed 02 October 2025, <https://online.provdatabase.com/cite/13208>

MLA 9th EditionWorks Cited

Ryter, Dietrich. Stochastic differential equations: loss of the Markov property by multiplicative noise. Australian National University, 2023. PROV Database, https://online.provdatabase.com/cite/13208.

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