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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