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Theory of Stochastic Processes, 2007, Volume 13(29), Issue 3, Pages 12–21 (Mi thsp224)  

This article is cited in 1 scientific paper (total in 1 paper)

One example of a random change of time that transforms a generalized diffusion process into an ordinary one

Olga V. Aryasovaa, Mykola I. Portenkob

a Institute of Geophysics, National Academy of Sciences of Ukraine, 32, Palladina Pr., Kyiv 03680, Ukraine
b Institute of Mathematics, National Academy of Sciences of Ukraine, 3, Tereshchenkivs'ka Str., Kyiv 01601, Ukraine
Full-text PDF (157 kB) Citations (1)
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Abstract: We propose a random change of time for a class of generalized di?usion processes such that the corresponding stochastic differential equation (with generalized coe?cients) is transformed into an ordinary one (its coe?cients are some non-generalized functions). It turns out that the latter stochastic differential equation has no property of the (weak) uniqueness of a solution.
Keywords: Diffusion process, random change of time, stochastic differential equation, uniqueness of solution.
Bibliographic databases:
Document Type: Article
MSC: 60J60, 60J35
Language: English
Citation: Olga V. Aryasova, Mykola I. Portenko, “One example of a random change of time that transforms a generalized diffusion process into an ordinary one”, Theory Stoch. Process., 13(29):3 (2007), 12–21
Citation in format AMSBIB
\Bibitem{AryPor07}
\by Olga~V.~Aryasova, Mykola~I.~Portenko
\paper One example of a random change of
time that transforms a generalized
diffusion process into an ordinary one
\jour Theory Stoch. Process.
\yr 2007
\vol 13(29)
\issue 3
\pages 12--21
\mathnet{http://mi.mathnet.ru/thsp224}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2396060}
\zmath{https://zbmath.org/?q=an:1199.60288}
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  • https://www.mathnet.ru/eng/thsp224
  • https://www.mathnet.ru/eng/thsp/v13/i3/p12
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Theory of Stochastic Processes
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    Abstract page:111
    Full-text PDF :35
    References:24
     
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