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...
Saved in:
| Date: | 2007 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2007
|
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4502 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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. |