The Brownian motion process with generalized diffusion matrix and drift vector
Using the method of the classical potential theory, we have constructed a semigroup of operators that describes a multidimensional process of Brownian motion, for which the drift vector and the diffusion matrix are generalized functions.
Збережено в:
| Дата: | 2008 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2008
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4553 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | The Brownian motion process with generalized diffusion matrix and drift vector / B.I. Kopytko, A.F. Novosyadlo // Theory of Stochastic Processes. — 2008. — Т. 14 (30), № 2. — С. 60–70. — Бібліогр.: 10 назв.— англ. |
Репозиторії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Резюме: | Using the method of the classical potential theory, we have constructed a semigroup of operators that describes a multidimensional process of Brownian motion, for which the drift vector and the diffusion matrix are generalized functions. |
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