Feller processes: the next generation in modeling. Brownian motion, Lévy processes and beyond.
We present a simple construction method for Feller processes and a framework for the generation of sample paths of Feller processes. The construction is based on state space dependent mixing of Lévy processes. Brownian Motion is one of the most frequently used continuous time Markov processes in app...
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| Format: | Article |
| Language: | English |
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Public Library of Science (PLoS)
2010-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC2997071?pdf=render |