Introduction to Diffusion Processes
Published Online: 15 FEB 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
Wiley Encyclopedia of Operations Research and Management Science
How to Cite
Ghosh, A. P. 2011. Introduction to Diffusion Processes. Wiley Encyclopedia of Operations Research and Management Science. .
- Published Online: 15 FEB 2011
In this section we describe a class of stochastic processes called the diffusion processes. These are continuous-time, continuous state-space processes and their sample paths are continuous everywhere but differentiable nowhere. Since diffusions are defined through stochastic differential equations, we give a brief introduction to stochastic differential equations (which include a discussion on stochastic integration as well). Diffusion processes are defined in terms of these differential equations. Finally we conclude the section with some specific example of diffusion processes.
- Brownian motion;
- stochastic integration;
- Ito integral;
- stochastic process