Diffusion Processes with Generalized Drift Coefficients

DOI10.1137/1124005MaRDI QIDQ3870114zbMATH OpenOpenAlexFDO

Authors M.Ī. Portenko

Publication date 1979

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1124005

zbMATH Keywords

diffusion processesgeneralized function

Mathematics Subject Classification ID

Distributions, generalized functions, distribution spaces (46F99) Diffusion processes (60J60)

Cited in

(9)

• Penalty method for obliquely reflected diffusions
• On dynamical systems perturbed by a null-recurrent motion: the general case
• Arbitrage in skew Brownian motion models
• Two Brownian particles with rank-based characteristics and skew-elastic collisions
• A scheme for simulating one-dimensional diffusion processes with discontinuous coefficients
• Asymmetric skew Bessel processes and their applications to finance
• A Markov chain approximation scheme for option pricing under skew diffusions
• Parameter estimation for the skew Ornstein-Uhlenbeck processes based on discrete observations
• Demographic inference for spatially heterogeneous populations using long shared haplotypes

This page was built for publication: Diffusion Processes with Generalized Drift Coefficients

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3870114)