Semimartingales from the Fokker-Planck equation

被引：4
|
作者：
Mikami, T [1 ]
机构：
[1] Hokkaido Univ, Dept Math, Sapporo, Hokkaido 060, Japan
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2006年 / 53卷 / 02期
关键词：
marginals; Fokker-Planck equation;
D O I：
10.1007/s00245-005-0844-z
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We show the existence of a semimartingale of which one-dimensional marginal distributions are given by the solution of the Fokker-Planck equation with the pth integrable drift vector (p > 1).
引用
收藏
页码：209 / 219
页数：11
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