Наукова електронна бібліотека
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періодичних видань НАН України
One example of a random change of time that transforms a generalized diffusion process into an ordinary one
Репозиторій DSpace/Manakin
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One example of a random change of time that transforms a generalized diffusion process into an ordinary one
УДК:
519.21
Посилання:
One example of a random change of time that transforms a generalized diffusion process into an ordinary one / O.V. Aryasova, M.I. Portenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 3. — С. 12–21. — Бібліогр.: 5 назв.— англ.
Дата:
2007
Переглядів:
1062
Завантажень:
502
Анотація:
We propose a random change of time for a class of generalized diffusion processes such
that the corresponding stochastic differential equation (with generalized coefficients) is transformed into an ordinary one (its coefficients are some non-generalized functions). It turns out that the latter stochastic differential equation has no property of the (weak) uniqueness of a solution.
