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Tag Archives: heat kernel
Random Walk and Differential Equations (II)
1Dimensional Heat Equation Consider the case of 1dimensional random walk. The equation (*) from the previous post gives: for t≥0. Suppose the intervals between successive time/space points are variable. Let’s rewrite it in the following form: Setting δt ≈ ε2 and δx ≈ ε, we divide both … Continue reading