We determine a new explicit representation of the strong solution of Itˆo-diffusions and elicit its correspondence to the general stochastic transport equation. We apply this formula to deduce an explicit Donsker delta function of a diffusion.
LANCONELLI, A., PROSKE F. (2004). On explicit strong solutions on Ito-SDEs and the Donsker delta function of a diffusion. INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS, 7(3), 437-447 [10.1142/S0219025704001670].
On explicit strong solutions on Ito-SDEs and the Donsker delta function of a diffusion
LANCONELLI, ALBERTO
Investigation
;
2004
Abstract
We determine a new explicit representation of the strong solution of Itˆo-diffusions and elicit its correspondence to the general stochastic transport equation. We apply this formula to deduce an explicit Donsker delta function of a diffusion.File in questo prodotto:
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