Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Stochastic processes with memory

  1. Nov 19, 2013 #1
    Can anyone provide references for stochastic processes where future steps do depend on the past state of the system? Most of the material I'm finding deals purely with memoryless processes. Thanks!
     
  2. jcsd
  3. Nov 19, 2013 #2

    MarneMath

    User Avatar
    Education Advisor

    http://arxiv.org/ftp/math/papers/0401/0401144.pdf

    There's one article I kept in my bookmarks. In fact, if you're interested, many papers on modified markov chains that take past state of the system in account for either short or long term duration will end up being financial in nature.

    http://legacy.orie.cornell.edu/gennady/techreports/LRD-NOW.pdf

    Here's a paper on long range dependence. It'll be a bit tough to actually find a textbook type reference for these topics though. I've only encountered them in journals.
     
  4. Nov 19, 2013 #3
    Thanks!
     
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook




Similar Discussions: Stochastic processes with memory
  1. Stochastic Processes (Replies: 2)

Loading...