Kolmogorov equations

In probability theory, Kolmogorov equations, including Kolmogorov forward equations and

Kolmogorov backward equations, characterize continuous-time Markov processes. In particular, they
describe how the probability that a continuous-time Markov process is in a certain state changes over time.

Diffusion processes vs. jump processes

Writing in 1931, Andrei Kolmogorov started from the theory of discrete time Markov processes, which are
described by the Chapman–Kolmogorov equation, and sought to derive a theory of continuous time
Markov processes by extending this equation. He found that there are two kinds of continuous time
Markov processes, depending on the assumed behavior over small intervals of time:

If you assume that "in a small time interval there is an overwhelming probability that the state will remain
unchanged; however, if it changes, the change may be radical",[1] then you are led to what are called jump
processes.

The other case leads to processes such as those "represented by diffusion and by Brownian motion; there it
is certain that some change will occur in any time interval, however small; only, here it is certain that the
changes during small time intervals will be also small".[1]

For each of these two kinds of processes, Kolmogorov derived a forward and a backward system of
equations (four in all).

History
The equations are named after Andrei Kolmogorov since they were highlighted in his 1931 foundational
work.[2]

William Feller, in 1949, used the names "forward equation" and "backward equation" for his more general
version of the Kolmogorov's pair, in both jump and diffusion processes.[1] Much later, in 1956, he referred
to the equations for the jump process as "Kolmogorov forward equations" and "Kolmogorov backward
equations".[3]

Other authors, such as Motoo Kimura,[4] referred to the diffusion (Fokker–Planck) equation as
Kolmogorov forward equation, a name that has persisted.

The modern view

In the context of a continuous-time Markov process with jumps, see Kolmogorov equations
(Markov jump process). In particular, in natural sciences the forward equation is also known
as master equation.
 In the context of a diffusion process, for the backward Kolmogorov equations see
Kolmogorov backward equations (diffusion). The forward Kolmogorov equation is also
known as Fokker–Planck equation.

An example from biology

One example from biology is given below:[5]

This equation is applied to model population growth with birth. Where is the population index, with
reference the initial population, is the birth rate, and finally , i.e. the probability
of achieving a certain population size.

The analytical solution is:[5]

This is a formula for the density in terms of the preceding ones, i.e. .

References
1. Feller, W. (1949). "On the Theory of Stochastic Processes, with Particular Reference to
Applications" (https://projecteuclid.org/euclid.bsmsp/1166219215). Proceedings of the (First)
Berkeley Symposium on Mathematical Statistics and Probability. pp. 403–432.
2. Kolmogorov, Andrei (1931). "Über die analytischen Methoden in der
Wahrscheinlichkeitsrechnung" [On Analytical Methods in the Theory of Probability].
Mathematische Annalen (in German). 104: 415–458. doi:10.1007/BF01457949 (https://doi.or
g/10.1007%2FBF01457949).
3. Feller, William (1957). "On Boundaries and Lateral Conditions for the Kolmogorov
Differential Equations". Annals of Mathematics. 65 (3): 527–570. doi:10.2307/1970064 (http
s://doi.org/10.2307%2F1970064).
4. Kimura, Motoo (1957). "Some Problems of Stochastic Processes in Genetics". Annals of
Mathematical Statistics. 28 (4): 882–901. JSTOR 2237051 (https://www.jstor.org/stable/2237
051).
5. Logan, J. David; Wolesensky, William R. (2009). Mathematical Methods in Biology. Pure
and Applied Mathematics. John Wiley& Sons. pp. 325–327. ISBN 978-0-470-52587-6.

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