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4. Poisson process
A fundamental property of Brownian motion is the Markov property, i.e. that the prediction of the state of the process at time t, conditional on knowledge of its past up to time s
, depends only on the state of the system at time s.
Many processes other than Brownian motion, whose general form can be described, satisfy this property; they are called Markov processes. They model many everyday phenomena, in particular discontinuous ones, such as the evolution of a population...
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Poisson process
References
- (1) - BROWN (R.) - A brief account of microscopical observations made in the months of june, july and august, 1827, on the particles contained in the pollen of plants; and on the general existence of active molecules in organic and inorganic bodies - . Philos. Mag. Ann. of Philos. New ser. 4, 161-178 (1828).
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