Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions
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Publication:5188204
zbMath1195.60104arXiv0710.1596MaRDI QIDQ5188204
Claudio Albanese, Alexey Kuznetsov
Publication date: 10 March 2010
Full work available at URL: https://arxiv.org/abs/0710.1596
Liouville transformation; scale transformation; Doob's \(h\)-transform; option pricing models; driftless diffusions
60J25: Continuous-time Markov processes on general state spaces
91B70: Stochastic models in economics
60J60: Diffusion processes
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