Stochastic integral equations and diffusion processes

  • E. B. Dynkin
Part of the Die Grundlehren der Mathematischen Wissenschaften book series (GL, volume 121/122)

Abstract

Let \({X^\mu } = ({x_t}, + \infty ,{\bar N_t}(\mu ),{P_\mu })\) be a Wiener random function on a Euclidean space E, corresponding to an initial distribution μ. In this section we shall construct a noteworthy class of continuous additive functionals of X μ which are solutions of stochastic integral equations. In the next section an extensive class of diffusion processes will be constructed with the help of these functionals.

Keywords

Summing 

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Copyright information

© Springer-Verlag Berlin · Göttingen · Heidelberg 1965

Authors and Affiliations

  • E. B. Dynkin
    • 1
  1. 1.University of MoscowRussia

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