A simple construction of certain diffusion processes
From MaRDI portal
Publication:2395682
DOI10.1215/kjm/1250524711zbMath0133.11003OpenAlexW1525113341MaRDI QIDQ2395682
Publication date: 1964
Published in: Journal of Mathematics of Kyoto University (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1215/kjm/1250524711
Related Items (20)
Distribution of the time to explosion for one-dimensional diffusions ⋮ Existence and uniqueness for stochastic 2D Euler flows with bounded vorticity ⋮ Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions ⋮ Unbiased simulation of rare events in continuous time ⋮ Approximations of non-smooth integral type functionals of one dimensional diffusion processes ⋮ Density estimates for solutions to one dimensional backward SDE's ⋮ Flexible Bayesian inference for diffusion processesusing splines ⋮ Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients ⋮ PDE for the joint law of the pair of a continuous diffusion and its running maximum ⋮ Smooth Random Functions, Random ODEs, and Gaussian Processes ⋮ Analytical solutions for stochastic differential equations via martingale processes ⋮ An interpretation of stochastic differential equations as ordinary differential equations which depend on the sample point ⋮ Adaptive step size numerical integration for stochastic differential equations with discontinuous drift and diffusion ⋮ A formal approach to stochastic integration and differential equations ⋮ Stochastic analysis \& discrete quantum systems ⋮ Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data ⋮ Stability of solutions of stochastic differential equations ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Efficient simulation of general stochastic hybrid systems
This page was built for publication: A simple construction of certain diffusion processes