ON CONDITIONAL DIFFUSION-PROCESSES

被引：32

作者：

LYONS, TJ

ZHENG, WA

机构：

[1] Department of Mathematics, University of Edinburgh, Edinburgh EH9 3JZ, James Clerk Maxwell Building, The King’s Buildings, Mayfield Road

[2] Department of Mathematical Statistics, East China Normal University, Shanghai

来源：

PROCEEDINGS OF THE ROYAL SOCIETY OF EDINBURGH SECTION A-MATHEMATICS | 1990年 / 115卷

关键词：

D O I：

10.1017/S030821050002062X

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

If Xt is the diffusion process associated with a second-order uniformly elliptic operator L in divergence form, then without assuming smoothness in L we prove that for each x and y in ℝd, where p is the fundamental solution to the heat equation associated with L. This allows one to control p when bounded drift terms are added to L; and also allows one to do Stratonovich integration with respect to the process conditioned to start at any point; previous work only dealt with quasi-every starting point. © 1990, Royal Society of Edinburgh. All rights reserved.

引用

页码：243 / 255

页数：13