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Kolmogorov equations (Markov jump process) : ウィキペディア英語版 | Kolmogorov equations (Markov jump process)
In the context of a continuous-time Markov process, the Kolmogorov equations, including Kolmogorov forward equations and Kolmogorov backward equations, are a pair of systems of differential equations that describe the time-evolution of the probability , where (the state space) and are the final and initial time respectively. ==The equations==
For the case of enumerable state space we put in place of . Kolmogorov forward equations read : while Kolmogorov backward equations are : The functions are continuous and differentiable in both time arguments. They represent the probability that the system that was in state at time jumps to state at some later time . The continuous quantities satisfy : ■ウィキペディアで「Kolmogorov equations (Markov jump process)」の詳細全文を読む
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