A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals
Author
Source
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-04-08
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
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 characteristic equation between drift and diffusion coefficients for homogeneous and nonhomogeneous diffusion processes.
The equation for homogeneous diffusion process leads to characterize the possible diffusion processes that can exist.
Two well-known examples using the necessary characteristic equation are also given.
American Psychological Association (APA)
Mudakkar, Syeda Rabab. 2012. A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals. Abstract and Applied Analysis،Vol. 2012, no. 2012, pp.1-9.
https://search.emarefa.net/detail/BIM-484016
Modern Language Association (MLA)
Mudakkar, Syeda Rabab. A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals. Abstract and Applied Analysis No. 2012 (2012), pp.1-9.
https://search.emarefa.net/detail/BIM-484016
American Medical Association (AMA)
Mudakkar, Syeda Rabab. A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals. Abstract and Applied Analysis. 2012. Vol. 2012, no. 2012, pp.1-9.
https://search.emarefa.net/detail/BIM-484016
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-484016