Transition probabilities for some ‘special' diffusions

DOI10.2307/3214213MaRDI QIDQ3777181zbMATHOpenAlexFDO

Authors Ioannis Karatzas, Václav E. Beneš

Publication date 1987

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214213

zbMATH Keywords

confluent hypergeometric functionsFeynman-Kac formulaLegendre functionsGirsanov theoremLaplace transformationspecial functions of mathematical physics

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Transition functions, generators and resolvents (60J35) Hypergeometric integrals and functions defined by them ((E), (G), (H) and (I) functions) (33C60)

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(4)

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