Module 3:Branching process, Application of Markov chains, Markov Processes with discrete and continuous state space
Lecture 12:Weiner Process
Differential equations for Weiner process
Consider a Weiner process with as the transition probability considering it starts at when . We arbitrarily consider its state as when time is . Furthermore as time progresses to , and then to , the position of the particle changes to or or again back to as illustrated in Figure 3.3.
Figure 3.3: Illustration of Weiner-Einsten process in order to find the differential equations
as the transition probability considering it starts at 
when 
. We arbitrarily consider its state as 
when time is 
. Furthermore as time progresses to 
, and then to 
, the position of the particle changes to 
or 
or again back to 
as illustrated in Figure 3.3.
