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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
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.
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
Linking options:
https://www.mathnet.ru/eng/thsp224 https://www.mathnet.ru/eng/thsp/v13/i3/p12
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Abstract page: | 111 | Full-text PDF : | 35 | References: | 24 |
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