Stochastic integral by a semi-Markov process of diffusion type.
Kharlamov, B.V. (2005)
Zapiski Nauchnykh Seminarov POMI
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Displaying similar documents to “Construction of diffusions”
Stochastic integral by a semi-Markov process of diffusion type.
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This paper deals with the relationship between two-dimensional parameter Gaussian random fields verifying a particular Markov property and the solutions of stochastic differential equations. In the non Gaussian case some diffusion conditions are introduced, obtaining a backward equation for the evolution of transition probability functions.
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Séminaire de probabilités de Strasbourg
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Karpelevich, F.I., Suhov, Yu.M. (1997)
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Séminaire de probabilités de Strasbourg
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Semi-Markov reliability models with recurrence times and credit rating applications.
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Journal of Applied Mathematics and Decision Sciences
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Germ-field Markov property for multiparameter processes
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Séminaire de probabilités de Strasbourg
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A counterexample for the Markov property of local time for diffusions on graphs
Nathalie Eisenbaum, Haya Kaspi (1995)
Séminaire de probabilités de Strasbourg
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