2024-03-29T10:23:37Zhttps://eprints.lib.hokudai.ac.jp/dspace-oai/requestoai:eprints.lib.hokudai.ac.jp:2115/695322022-11-17T02:08:08Zhdl_2115_45007hdl_2115_116Semimartingales from the Fokker-Planck equationMikami, Toshioopen accessstochastic controlmarginal problemNelson process410We show the existence of a semimartingale of which one-dimensional marginal distributions are given by the solution of the Fokker-Planck equation with the $p$-th integrable drift vector ($p>1$).Department of Mathematics, Hokkaido University2005-06-01engdepartmental bulletin paperVoRhttps://doi.org/10.14943/83874http://hdl.handle.net/2115/6953210.14943/83874Hokkaido University Preprint Series in Mathematics724115https://eprints.lib.hokudai.ac.jp/dspace/bitstream/2115/69532/1/pre724.pdfapplication/pdf133.41 KB2005-06-01