Martingales and One-Dimensional Diffusion
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Cites work
- Diffusion Processes in One Dimension
- scientific article; zbMATH DE number 3033212 (Why is no real title available?)
- scientific article; zbMATH DE number 3085434 (Why is no real title available?)
- Les fonctions aléatoires du type de Markoff associees à certaines équations linéaires aux dérivées partielles du type parabolique
- On stochastic differential equations
- Semimartingales and Subharmonic Functions
- The parabolic differential equations and the associated semigroups of transformation
- Zur Theorie der stochastischen Prozesse. (Existenz- und Eindeutigkeitssätze.)
Cited in
(12)- Grid-free simulation of diffusion using random wall methods
- On parabolic functions of one-dimensional quasidiffusions
- Statistical problems for stochastic processes with boundary conditions
- Conditioning a diffusion at first-passage and last-exit times, and a mirage arising in drug therapy for HIV
- An existence theorem for linear stochastic differential equations
- Duality and a priori estimates in Markovian optimization problems
- A Probability Approach to the Heat Equation
- Some martingales associated with queueing and storage processes
- Second order nonlinear stochastic differential equations
- Space-Time Processes, Parabolic Functions and One-Dimensional Diffusions
- Criteria for the recurrence or transience of stochastic process. I
- Existence-uniqueness and continuation theorems for stochastic functional differential equations
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