The Brownian motion process with generalized diffusion matrix and drift vector
Using the method of the classical potential theory, we have constructed a semigroup of operators that describes a multidimensional process of Brownian motion, for which the drift vector and the diffusion matrix are generalized functions.
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| Date: | 2008 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2008
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| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4553 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | The Brownian motion process with generalized diffusion matrix and drift vector / B.I. Kopytko, A.F. Novosyadlo // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 60–70. — Бібліогр.: 10 назв.— англ. |