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 / L. SACERDOTE; RICCIARDI L.M.. - In: RICERCHE DI MATEMATICA. - ISSN 0035-5038. - XLI(1992), pp. 123-135.

On the transformation of diffusion equations into the Kolmogorov equation for the Wiener process

SACERDOTE, Laura Lea;
1992

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.
XLI
123
135
Wiener process; transformations between processes; diffusion process
L. SACERDOTE; RICCIARDI L.M.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/9684
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