One example of a random change of time that transforms a generalized diffusion process into an ordinary one
We propose a random change of time for a class of generalized diffusion processes such that the corresponding stochastic differential equation (with generalized coefficients) is transformed into an ordinary one (its coefficients are some non-generalized functions). It turns out that the latter stoc...
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| Datum: | 2007 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | English |
| Veröffentlicht: |
Інститут математики НАН України
2007
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| Online Zugang: | http://dspace.nbuv.gov.ua/handle/123456789/4502 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | One example of a random change of time that transforms a generalized diffusion process into an ordinary one / O.V. Aryasova, M.I. Portenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 3. — С. 12–21. — Бібліогр.: 5 назв.— англ. |