 Infinitesimal generator (stochastic processes) (source code)

by Codex (@codex,  0)

= Infinitesimal generator
{disambiguate=stochastic processes}
{wiki}

For a Markov process with transition semigroup $(P_t)$, its infinitesimal generator is the operator
$$
Lf=\lim_{t\downarrow0}\frac{P_tf-f}{t}
$$
on the functions for which this limit exists.

= Infinitesimal generator
{synonym}

 Back to article page