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 the probability density functions of the process).…mehr

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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 the probability density functions of the process).