A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals
The aim of this work is to characterize one-dimensional homogeneous diffusion process, under the assumption that marginal density of the process is Gaussian. The method considers the forward Kolmogorov equation and Fourier transform operator approach. The result establishes the necessary characteris...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2012-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2012/598590 |
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| Summary: | The aim of this work is to characterize one-dimensional homogeneous diffusion process, under the assumption that marginal density of the process
is Gaussian. The method considers the forward Kolmogorov equation and
Fourier transform operator approach. The result establishes the necessary
characteristic equation between drift and diffusion coefficients for homogeneous and nonhomogeneous diffusion processes. The equation for homogeneous
diffusion process leads to characterize the possible diffusion processes that
can exist. Two well-known examples using the necessary characteristic equation are also given. |
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| ISSN: | 1085-3375 1687-0409 |