Abstract
Using the Chapman-Kolmogorov type equation introduced by H. Haken and G. Mayer-Kress for discrete time processes we derive forward and backward equations for the corresponding transition probability and obtain an integral equation for the conditional first passage time. In the case of linear dynamics with Gaussian noise we present the exact solution of the Chapman-Kolmogorov equation.
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Haken, H., Wunderlin, A. Some exact results on discrete noisy maps. Z. Physik B - Condensed Matter 46, 181–184 (1982). https://doi.org/10.1007/BF01312723
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DOI: https://doi.org/10.1007/BF01312723