# Semimartingales from the Fokker-Planck equation

Preprint Series # 724
Mikami, Toshio Semimartingales from the Fokker-Planck equation. (2005);

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## Abstract

We show the existence of a semimartingale of which one-dimensional marginal distributions are given by the solution of the Fokker-Planck equation with the $p$-th integrable drift vector ($p>1$).

Item Type: Preprint 20 copies stochastic control, marginal problem, Nelson process 60-xx PROBABILITY THEORY AND STOCHASTIC PROCESSES 967