Smooth diffusion measures and their transformations
type: Item
instance of: scholarly article
title: Smooth diffusion measures and their transformations
zbMATH Open document ID: 0999.60074
published in: Journal of Mathematical Sciences (New York)
publication date: 2002-06-25T00:00:00Z
review text: The author shows that solutions of the Burgers equation can be obtained in the form of logarithmic derivatives of transition densities of certain diffusion processes. The author uses also the Darboux transformation in the theory of the Sturm-Liouville equations in order to derive an explicit expression for the Radon-Nikodym derivative of a pair of absolutely continuous measures generated by various scalar multiplicative functionals of diffusion processes.
reviewed by: Yuri Kifer
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 35Q53
zbMATH DE Number: 1759041
zbMATH Keywords: Burgers equation
zbMATH Keywords: stochastic differential equations
author: Yana Belopolskaya
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1759041