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A Stochastic Differential Equation for a Class of Feller's One-dimensional Diffusion

✍ Scribed by Jürgen Groh

Publisher
John Wiley and Sons
Year
1982
Tongue
English
Weight
252 KB
Volume
107
Category
Article
ISSN
0025-584X

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✦ Synopsis

Sarh processes X were first described by WILLIAN FELLER in a purely analytical way, using the generalized second-order differential operator U,D;. In the rase of natural boundaries of the state space R and a trivial road map p(xj =x, these diffusion processes are martingales. In the present paper it is additionally assumed that the speed measure m contains a nonvanishing absolutely continuous component. Then a stochastic differential equation is derived. which has the diffusion 9 as a weak solution.

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