The transformation problem of Kolmogorov equation for one dimensional diffusion processes to the Klolmogorov equation for a Wiener process previously analyzed by Cherkasov and by Ricciardi is re-considered in the light of a contribution successively due to Bluman. In particular the problem of boundary transformation is raised.
On the transformation of diffusion equations into the Kolmogorov equation for the Wiener process
SACERDOTE, Laura Lea;
1992-01-01
Abstract
The transformation problem of Kolmogorov equation for one dimensional diffusion processes to the Klolmogorov equation for a Wiener process previously analyzed by Cherkasov and by Ricciardi is re-considered in the light of a contribution successively due to Bluman. In particular the problem of boundary transformation is raised.
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