Exactly solvable diffusions from space-time transformations
We consider a general one-dimensional overdamped diffusion model described by the Itô stochastic differential equation (SDE) ${\mathrm dX_t = \mu(X_t,t)\mathrm dt+\sigma (X_t,t)\mathrm dW_t}$ , where W _t is the standard Wiener process. We obtain a specific condition that µ and σ must fulfil in orde...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
IOP Publishing
2025-01-01
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| Series: | New Journal of Physics |
| Subjects: | |
| Online Access: | https://doi.org/10.1088/1367-2630/adecbb |
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