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Feller's One-Dimensional Diffusions as Weak Solutions to Stochastic Differential Equations

✍ Scribed by Jürgen Groh

Publisher: John Wiley and Sons
Year: 1985
Tongue: English
Weight: 414 KB
Volume: 122
Category: Article
ISSN: 0025-584X
DOI: 10.1002/mana.19851220116

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✦ Synopsis

ihstruct. A continuous strong MARKOV process X on the line generated by FELLER'S generalized second order differential operator D,D; is considered. Supposed that the cnnonicnl scale p is locally the difference of two bounded convex functions, that the speed meustire rn contains R strictly positive absolutely continuous component, and that both boundtiries of the state space Rure inaccessible. Then the process X is chnrticteriaed is ii weak solution to a stochastic differential equiition involving local time.

📜 SIMILAR VOLUMES

A Stochastic Differential Equation for a

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

✍ Jürgen Groh 📂 Article 📅 1982 🏛 John Wiley and Sons 🌐 English ⚖ 252 KB 👁 1 views

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