On a simple derivation of master equations for diffusion processes driven by white noise and dichotomic Markov noise

Abstract

A very simple way is presented of deriving the partial differential equations (the master equations) satisfied by the probability density for certain kinds of diffusion processes in one dimension, in which the driving term is a Gaussian white noise, or a dichotomic noise, or a combination of the two. The method involves the use of certain 'formulas of differentiation' to derive the equations obeyed by the characteristic functions of the processes concerned, and thence the corresponding master equations. The examples presented cover a substantial number of diffusion processes that occur in physical modelling, including some master equations derived recently in the literature for generalizations of persistent diffusion.