One-dimensional homogeneous diffusions

DOI10.1007/978-3-642-32157-3_2MaRDI QIDQ4567929zbMATHOpenAlexFDO

Authors

Publication date 20 June 2018

Published in Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-32157-3_2

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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(10)

• 1-D models for m-D processes
• Classification of killed one-dimensional diffusions.
• Change of drift in one-dimensional diffusions
• One-dimensional diffusion and stochastic differential equation
• Solutions and simulations of some one-dimensional stochastic differential equations
• Generating integrable one dimensional driftless diffusions
• Characterising One-Dimensional Diffusions using Stochastic Calculus
• Kemeny's constant for one-dimensional diffusions
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• First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes

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