Created: August 29, 2022
Modified: August 29, 2022
Modified: August 29, 2022
Markov process
This page is from my personal notes, and has not been specifically reviewed for public consumption. It might be incomplete, wrong, outdated, or stupid. Caveat lector.A stochastic process in which the past is independent of the future, conditioned on the current value.
Striking point made by https://www.ma.imperial.ac.uk/~pavl/lec_diff_proc.pdf: a continuous-time Markov process cannot be differentiable, because it takes two points to define a line, so implementing any coherent notion of local linearity would require more information than just the current value .