Semimartingales from the Fokker-Planck equation


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Please use this identifier to cite or link to this item:https://doi.org/10.14943/83874

Title:	Semimartingales from the Fokker-Planck equation
Authors:	Mikami, Toshio Browse this author
Keywords:	stochastic control
	marginal problem
	Nelson process
Issue Date:	1-Jun-2005
Publisher:	Department of Mathematics, Hokkaido University
Journal Title:	Hokkaido University Preprint Series in Mathematics
Volume:	724
Start Page:	1
End Page:	15
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 $p$-th integrable drift vector ($p>1$).
Type:	bulletin (article)
URI:	http://hdl.handle.net/2115/69532
Appears in Collections:	理学院・理学研究院 (Graduate School of Science / Faculty of Science) > Hokkaido University Preprint Series in Mathematics

Submitter: 数学紀要登録作業用

OAI-PMH ( junii2 , jpcoar_1.0 )

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