One example of a random change of time that transforms a generalized diffusion process into an ordinary one

• Видавець: Інститут математики НАН України
• Дата: 2007
• Автори: Aryasova, O.V., Portenko, M.I.
• Формат: Стаття
• Мова: English
• Опубліковано: Інститут математики НАН України 2007
• Онлайн доступ: http://dspace.nbuv.gov.ua/handle/123456789/4502
• Цитувати: One example of a random change of time that transforms a generalized diffusion process into an ordinary one / O.V. Aryasova, M.I. Portenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 3. — С. 12–21. — Бібліогр.: 5 назв.— англ.

We propose a random change of time for a class of generalized diffusion processes such that the corresponding stochastic differential equation (with generalized coefficients) is transformed into an ordinary one (its coefficients are some non-generalized functions). It turns out that the latter stoc...