We study multidimensional diffusion processes and give an explicit representation for their conditional expectation. Starting from the solution formula for one dimensional stochastic differential equations found in Lanconelli and Proske [8], we compute the conditional expectation of a certain class of multidimensional diffusions without resorting to the Markov property of the process and therefore without requiring an explicit expression for the semi group associated to it.
LANCONELLI A (2005). Computing conditional expectation of multidimensional diffusion processes. STOCHASTICS, 77(4), 315-326 [10.1080/17442500500196885].
Computing conditional expectation of multidimensional diffusion processes
LANCONELLI A
Investigation
2005
Abstract
We study multidimensional diffusion processes and give an explicit representation for their conditional expectation. Starting from the solution formula for one dimensional stochastic differential equations found in Lanconelli and Proske [8], we compute the conditional expectation of a certain class of multidimensional diffusions without resorting to the Markov property of the process and therefore without requiring an explicit expression for the semi group associated to it.File in questo prodotto:
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