Abstract
A σ-additive measure over a space of paths is constructed to give the solution to the Fokker-Planck equation associated with a stochastic differential equation with coefficient function of polynomial growth by making use of nonstandard analysis.
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© 2007 Springer-Verlag Wien
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Nakamura, T. (2007). Path-space measure for stochastic differential equation with a coefficient of polynomial growth. In: van den Berg, I., Neves, V. (eds) The Strength of Nonstandard Analysis. Springer, Vienna. https://doi.org/10.1007/978-3-211-49905-4_21
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DOI: https://doi.org/10.1007/978-3-211-49905-4_21
Publisher Name: Springer, Vienna
Print ISBN: 978-3-211-49904-7
Online ISBN: 978-3-211-49905-4
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