The Library
Can time-homogeneous diffusions produce any distribution?
Tools
Ekström, Erik, Hobson, David (David G.), Janson, Svante and Tysk, Johan (2011) Can time-homogeneous diffusions produce any distribution? Probability Theory and Related Fields, Volume 55 (Number 3-4). pp. 493-520. doi:10.1007/s00440-011-0405-0 ISSN 0178-8051.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1007/s00440-011-0405-0
Abstract
Given a centred distribution, can one find a time-homogeneous martingale diffusion starting at zero which has the given law at time 1? We answer the question affirmatively if generalized diffusions are allowed.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Diffusion processes, Distribution (Probability theory) | ||||
Journal or Publication Title: | Probability Theory and Related Fields | ||||
Publisher: | Springer | ||||
ISSN: | 0178-8051 | ||||
Official Date: | December 2011 | ||||
Dates: |
|
||||
Volume: | Volume 55 | ||||
Number: | Number 3-4 | ||||
Page Range: | pp. 493-520 | ||||
DOI: | 10.1007/s00440-011-0405-0 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |