On Multidimensional Generalized Diffusion Processes
We construct a multidimensional generalized diffusion process with the drift coefficient that is the (generalized) derivative of a vector-valued measure satisfying an analog of the Hölder condition with respect to volume. We prove the existence and continuity of the density of transition probability...
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| Date: | 2003 |
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| Main Authors: | , |
| Format: | Article |
| Language: | Ukrainian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
2003
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/4003 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |
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Ukrains’kyi Matematychnyi Zhurnal| Summary: | We construct a multidimensional generalized diffusion process with the drift coefficient that is the (generalized) derivative of a vector-valued measure satisfying an analog of the Hölder condition with respect to volume. We prove the existence and continuity of the density of transition probability of this process and obtain standard estimates for this density. We also prove that the trajectories of the process are solutions of a stochastic differential equation. |
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