L不能看作Q矩阵，因为前者是连续的后者是分离的,而且两者意义也不同，前者是算子，后者是转移矩阵

[此贴子已经被作者于2009-5-9 18:14:58编辑过]

Thanks a lot~

But I mean markov process, not the markov chain, I guess both of them are continuous

duffsion must be Markov process but maybe a martingale,but according the theory of stroock and varadhan, the weak solution of diffusion is a local martingale.

and we can see the L(laplace operator ) is a infinitesimal generator of Markov process famliy , and L has a relation with tansition probability density function by backward kolomgorov equation

all viewpoint can be see<<Brownian Motion and Stochastic Calculus>>

notice:

"2，L-diffusion 的 L（拉普拉斯算子） 是不是就可以看作是markov process的Q矩阵？"

In contiinue time ,Markov process have tansition probability density  not Q martix .

[此贴子已经被作者于2009-5-14 2:24:44编辑过]