One-dimensional diffusion and stochastic differential equation

被引：0
|
作者：
He, Ping [1 ]
Shen, Yuncong [2 ]
Sun, Wenjie [3 ]
机构：
[1] Shanghai Univ Finance & Econ, Sch Math, Shanghai 200433, Peoples R China
[2] Fudan Univ, Sch Math Sci, Shanghai 200433, Peoples R China
[3] Tongji Univ, Sch Math Sci, Shanghai 200092, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2022年 / 183卷
基金：
中国博士后科学基金;
关键词：
Stochastic differential equation; One-dimensional diffusion; Scale function; Speed measure; Regular;
D O I：
10.1016/j.spl.2021.109333
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we study the condition for a one-dimensional diffusion to satisfy a stochastic differential equation. In the case of regular diffusion, we give a sufficient and nearly necessary condition using scale function and speed measure. For general diffusions, we decompose the state space into regular and shunt pieces, and give a condition for X satisfying a stochastic differential equation on any shunt pieces. (C) 2021 Elsevier B.V. All rights reserved.
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页数：13
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