A necessary characteristic equation of diffusion processes having Gaussian marginals

DOI10.1155/2012/598590zbMath1241.60039OpenAlexW2150424771WikidataQ58695652 ScholiaQ58695652MaRDI QIDQ417176

Syeda Rabab Mudakkar

Publication date: 14 May 2012

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/598590

zbMATH Keywords

Fourier transformforward Kolmogorov equationhomogeneous diffusion process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (1)

Construction of peculiar diffusion process having Gaussian marginals

Cites Work

• Unnamed Item
• Making Markov martingales meet marginals: With explicit constructions
• Diffusion-type models with given marginal distribution and autocorrelation function
• A family of non-Gaussian martingales with Gaussian marginals
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter
• Nonparametric Pricing of Interest Rate Derivative Securities

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