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). {{Citation needed|date=January 2020|reason=There is no citation explaining the general case of an infinitesimal generator}
Definition
General case
For a Markov process we define the generator by
whenever this limit exists in .[clarification needed]
This article is missing information about This description of the general case is incomplete, although the case of a Brownian SDE is disproportionately long and sounds like it is more general.(January 2020) |
Stochastic differential equations driven by Brownian motion
Let defined on a probability space be an Itô diffusion satisfying a stochastic differential equation of the form:
where is an m-dimensional Brownian motion and and are the drift and diffusion fields respectively. For a point , let denote the law of given initial datum , and let denote expectation with respect to .
The infinitesimal generator of is the operator , which is defined to act on suitable functions by:
The set of all functions for which this limit exists at a point is denoted , while denotes the set of all for which the limit exists for all . One can show that any compactly-supported (twice differentiable with continuous second derivative) function lies in and that:
Or, in terms of the gradient and scalar and Frobenius inner products:
Generators of some common processes
- For finite-state continuous time Markov chains the generator may be expressed as a transition rate matrix
- Standard Brownian motion on , which satisfies the stochastic differential equation , has generator , where denotes the Laplace operator.
- The two-dimensional process satisfying:
- where is a one-dimensional Brownian motion, can be thought of as the graph of that Brownian motion, and has generator:
- The Ornstein–Uhlenbeck process on , which satisfies the stochastic differential equation , has generator:
- Similarly, the graph of the Ornstein–Uhlenbeck process has generator:
- A geometric Brownian motion on , which satisfies the stochastic differential equation , has generator:
See also
References
- Øksendal, Bernt K. (2003). Stochastic Differential Equations: An Introduction with Applications (Sixth ed.). Berlin: Springer. doi:10.1007/978-3-642-14394-6. ISBN 3-540-04758-1. (See Section 7.3)