Can time-homogeneous diffusions produce any distribution?

DOI10.1007/s00440-011-0405-0zbMath1276.60085arXiv1103.4371OpenAlexW2161742545MaRDI QIDQ1950378

Johan Tysk, David G. Hobson, Erik Ekström, Svante Janson

Publication date: 13 May 2013

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.4371

zbMATH Keywords

random time changegeneralized diffusionsspeed measurecontinuous time martingales

Mathematics Subject Classification ID

Related Items (8)

Mimicking an Itō process by a solution of a stochastic differential equation ⋮ Feynman–Kac theorems for generalized diffusions ⋮ Fractal Transformation of Krein–Feller Operators ⋮ Tensor approximation of generalized correlated diffusions and functional copula operators ⋮ LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES ⋮ Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations ⋮ Time homogeneous diffusion with drift and killing to meet a given marginal ⋮ On Skorokhod embeddings and Poisson equations

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• Probability: A Graduate Course
• Using Additive Functionals to Embed Preassigned Distributions in Symmetric Stable Processes
• Brownian Motion

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