A Markov process with a continuous sample function is called a diffusion process. It is so named because it is modeled after the physical phenomenon of diffusion. Suppose a container is filled with water and a small amount of colored colloidal particles are dissolved therein, making the concentration uneven. If left alone, the particles will move irregularly, but they will tend to spread from areas of higher concentration to areas of lower concentration, eventually becoming uniformly distributed throughout the water. Brownian motion is the most important example of a diffusion process that models this phenomenon. Source: Heibonsha World Encyclopedia, 2nd Edition Information |
見本関数が連続なマルコフ過程を拡散過程という。物理現象の拡散がモデルとなっていることからこのような名称で呼ばれる。いま容器に水が満たしてあり,色のついたコロイド粒子が少量溶けていて濃度は一様でないとする。これを放置しておくと粒子は不規則に動きながらも,傾向としては濃度の高いほうから低いほうへ向かって広がり,ついには水全体に一様に分布するに至る。ブラウン運動はこのような現象をモデルとする拡散過程のもっとも重要な例である。
出典 株式会社平凡社世界大百科事典 第2版について 情報 |
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