Transition probabilities for some ‘special' diffusions

DOI10.2307/3214213zbMath0637.60072OpenAlexW2316716451MaRDI QIDQ3777181

Ioannis Karatzas, Václav E. Beneš

Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214213

zbMATH Keywords

Legendre functionsFeynman-Kac formulaLaplace transformationGirsanov theoremconfluent hypergeometric functionsspecial functions of mathematical physics

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60) Transition functions, generators and resolvents (60J35)

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