Dept. Math, Hokkaido Univ. EPrints Server

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
Additional Information:20 copies
Uncontrolled Keywords: stochastic control, marginal problem, Nelson process
Subjects:60-xx PROBABILITY THEORY AND STOCHASTIC PROCESSES
ID Code:967