Semimartingales from the Fokker-Planck Equation


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Please use this identifier to cite or link to this item:http://hdl.handle.net/2115/5781

Title:	Semimartingales from the Fokker-Planck Equation
Authors:	Mikami, Toshio¹ Browse this author
Authors(alt):	三上, 敏夫¹
Keywords:	Marginals
Keywords:	Fokker-Planck equation
Issue Date:	Mar-2006
Publisher:	Springer
Journal Title:	Applied Mathematics and Optimization
Volume:	53
Issue:	2
Start Page:	209
End Page:	219
Publisher DOI:	10.1007/s00245-005-0844-z
Abstract:	We show the existence of a semimartingale of which one-dimensional marginal distributions are given by the solution of the Fokker-Planck equation with the pth integrable drift vector (p > 1).
Rights:	The original publication is available at www.springerlink.com
Type:	article (author version)
URI:	http://hdl.handle.net/2115/5781
Appears in Collections:	理学院・理学研究院 (Graduate School of Science / Faculty of Science) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 三上敏夫

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