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Suppose { X (t ), t } is a Markov Process with the state space V . Here is continuous and
the state transition can take at any instant of time t. Suppose the process is at state x0 at time
t t0 . The state transition probability density function at t is given by f X (t )/ X (t0 ) ( x / x0 ) . For
notational simplicity, let us denote this pdf by f ( x, t / x0 , t0 ) . Further assume that the process is
homogeneous.
Consider the random variable X (t1 ) ) at a time. Given X (t0 ) x0 , the joint PDF of X (t1 ) and
X (t ) is f ( x1 , t1 ; x, t / x0 , t0 ) .Then the marginal density f ( x1 , t1 / x0 , t0 ) can be obtained from as
f ( x1 , t1 / x0 , t0 )
f ( x, t ; x1 , t1 / x0 , t0 )dx
Using the chain rule and subsequently the Markov property, we get
f ( x1 , t1 / x0 , t0 )
f ( x, t / x0 , t0 ) f ( x1 , t1 / x, t , x0 , t0 ) dx
f ( x, t / x0 , t0 ) f ( x1 , t1 / x, t ) dx
We have to know how the process evolves. Similar to the Kolmogorov forward and backward
equations for the evolution of the CTMC, we can get those equations for a continuous time Markov
process. Particularly, the corresponding forward Kolmogorv equation is known as the Fokker
Planck (FP) equations. We omit the derivation of the FP equation here.
The FP equation has diverse applications as in the dispersion of suspended particles, the
dynamics of electrons in a semiconductor, aeronautics, image processing and stochastic
finance.
Thus the the transition PDF is Gaussian with time-varying mean and variance. With partial
differentiations of f ( x, t / x0 0, t0 0) with respect to t and x it is easy to show that the above
Gaussian PDF satisfies the FP equations.
We can solve the above PDE using the Fourier transform method.
Then,
f x, t f x, t j x
FT e dx
t t
t
f ( x, t )e j x dx
Y , t
t
Similarly,
2 2
FT 2 f ( x, t ) 2 f ( x, t )e j x dx
x x
f ( x, t )
f ( x, t )e j x j e j x dx
x x
f
0 as x and x .
x
2 f ( x, t ) j x
FT 2 f ( x, t ) j e dx
x x
j f ( x, t ) f x, t e
2 j x
dx
f x, t e
j x
2 dx
Y , t
2
Taking the Fourier transform of both sides of the initial condition f x, 0 x , we get
Y , 0 1 .
1 x2
2
1 2 t
f ( x, t ) e
2 2t
Note that X (t ) is symmetric about horizontal axis and the variance increases linearly with
time.
If x, t 0, then
1 ( x t )2
1 2 2 t
f x, t e
2 2t
Definition: The random process X t , t 0 is called a Wiener process or the Brownian motion
process if it satisfies the following conditions:
(3) For each t0 0, t 0 X t t0 X (t0 ) has the normal distribution with mean 0
and variance 2 t .
1 x2
1
f X t t0 X t 0 ( x )
2
e 2 t
2 t
Remarks
1 x2
1
We have f X t ( x )
2
e 2 t
2 t
The conditional CDF
F ( x, t / x0 , t0 ) P ( X (t ) x / X (t0 ) x0 )
P ( X (t ) X (t0 ) x x0 / X (t0 ) x0 )
P ( X (t ) X (t0 ) x x0 )
f ( x, t / x0 , t0 )
1 ( x x0 ) 2
1 2 2 ( t t0 )
e
2 (t t0 )
Wiener process was used to model the Brownian motion – microscopic particles suspended in a
fluid are subject to continuous molecular impacts resulting in the zigzag motion of the particle
named Brownian motion after the British botanist Robert Brown. (1773-1858)
The Wiener process is characterized by the parameter . When 1 , the process is called the
standard Wiener process.
A realization of the Wiener process is shown in Figure below
X(t)
Figure
The Wiener process is Markov because of the independent-increment property. It is easy to show that
RX t1 , t2 EX t1 X t2
EX t1 X t2 X t1 X t1 Assuming t2 t1
EX t1 E X t2 X t1 EX 2
t1
EX 2 t1
2t1
Similarly if t1 t 2 RX t1 , t2 t2
2
RX t1 , t2 2 min t1 , t2
Thus the Wiener process is not stationary. Since the process is zero-mean,
C X t1 , t2 2 min t1 , t2
For a Wiener process X t ,
RX t1 , t2 2 min t1 , t2
RX t , t 2 min t , t 2t lim RX t1 , t2
t1 t ,t2 t
Thus the autocorrelation function of the Wiener process is continuous everywhere implying that it is
m.s. continuous everywhere.
RX t1 , t2 2 min t1 , t2
2t if t2 0
RX 0, t2 2
0 other wise
RX 0, t2 2 if t2 0
t2 0 if t2 0
RX 0, t2
does not exist at t2 0
t2
2 RX t1 , t2
does not exist at (t1 0, t2 0)
t1t2
Remark: The Wiener process is not only m.s. continuous but it is continuous with probability 1.
Moreover, each realization of this process is nowhere differentiable. Such a process is difficult to
visualize but has many applications,