Infinitesimal Generator (stochastic processes)
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Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In mathematics specifically, in stochastic analysis the infinitesimal generator of a stochastic process is a partial differential operator that encodes a great deal of information about the process. The generator is used in evolution equations such as the Kolmogorov backward equation (which describes the evolution of statistics of the process); its L2 Hermitian adjoint is used in evolution equations such as the Fokker-Planck equation (which describes the evolution of ...
Please note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. In mathematics specifically, in stochastic analysis the infinitesimal generator of a stochastic process is a partial differential operator that encodes a great deal of information about the process. The generator is used in evolution equations such as the Kolmogorov backward equation (which describes the evolution of statistics of the process); its L2 Hermitian adjoint is used in evolution equations such as the Fokker-Planck equation (which describes the evolution of the probability density functions of the process).
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