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Other Topics in Diffusion Theory

  • Bernt Øksendal
Part of the Universitext book series (UTX)

Abstract

In this chapter we study other important topics in diffusion theory. While not strictly necessary for the remaining chapters, these topics are central in the theory of stochastic analysis and essential for further applications. The following topics will be treated:
  1. A)

    Kolmogorov’s backward equation. The resolvent.

     
  2. B)

    The Feynman-Kac formula. Killing.

     
  3. C)

    The martingale problem.

     
  4. C)

    When is a stochastic integral a diffusion?

     
  5. E)

    Random time change.

     
  6. F)

    The Cameron-Martin-Girsanov formula.

     

Keywords

Brownian Motion Weak Solution Stochastic Differential Equation Time Change Diffusion Theory 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1989

Authors and Affiliations

  • Bernt Øksendal
    • 1
  1. 1.Department of MathematicsUniversity of OsloBlindern, Oslo 3Norway

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