Exact solution of evolution equation for randomly interrupted diffusion
- 1 November 1993
- journal article
- Published by AIP Publishing in Journal of Mathematical Physics
- Vol. 34 (11) , 5357-5366
- https://doi.org/10.1063/1.530309
Abstract
An evolution equation of integro-differential type for a one-dimensional probability distribution of a linear process driven by additive randomly interrupted Gaussian white noise is exactly solved. A family of propagators for a probability distribution of the process is obtained. Selected examples of a time-dependent distribution are presented.Keywords
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