A discrete algebraic framework for stochastic systems which yield unique and exact solutions

Abstract

Many physical systems exhibit random or stochastic components which shape or even drive their dynamic behavior. The stochastic models and equations describing such systems are typically assessed numerically, with a few exceptions allowing for a mathematically more rigorous treatment in the framework of stochastic calculus. However, even if exact solutions can be obtained in special cases, some results remain ambiguous due to the analytical foundation on which this calculus rests. In this work, we set out to identify the conceptual problem which renders stochastic calculus ambiguous, and exemplify a discrete algebraic framework which, for all practical intents and purposes, not just yields unique and exact solutions, but might also be capable of providing solutions to a much wider class of stochastic models.

Keywords

• Applied mathematics
• Statistical physics