SIMIODE

We build the infinite set of first order differential equations for modeling a stochastic process, the so-called birth and death equations. We will only need to use integrating factor solution strategy or DSolve in Mathematica for success.  We work to build our model of random events which leads to the differential equations for P_n(t), the probability that our system is in state n or as we will call it E_n at time t. We compute the mean state value and then apply our new found knowledge to solve some problems.

Researchers should cite this work as follows:

• Brian Winkel (2015), "1-027-S-StochasticProcesses," https://www.simiode.org/resources/813.

  BibTex | EndNote

1. assumption
2. data
3. develop
4. differential
5. directed
6. Industrial Engineering
7. infinite
8. Integrating Factor
9. linear
10. long
11. Mathematica
12. mean
13. model
14. modeling
15. operations
16. order
17. ordinary
18. parameter
19. Poisson process
20. probability
21. random
22. separable
23. stochastic
24. system
25. traffic
26. variance