کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1785268 1524148 2016 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On analytic characteristic functions and processes governed by SDEs
موضوعات مرتبط
مهندسی و علوم پایه فیزیک و نجوم فیزیک اتمی و مولکولی و اپتیک
پیش نمایش صفحه اول مقاله
On analytic characteristic functions and processes governed by SDEs
چکیده انگلیسی

We study the analyticity of a characteristic function of a process defined by means of SDEs. Namely, starting with the simple case of a scalar Ito SDE we show that the corresponding characteristic function is entire. The proof is based on Grönwall's inequality technique and the classic analyticity criterion in terms of moments. Further, we extend this criterion and derive a handy sufficient condition of analyticity in the multidimensional case, which is used to prove the corresponding general result. We assume that the drift vector obeys the linear growth condition and the diffusion matrix is time-only-dependent but possibly degenerate. The approach used in this article can be extended to more general types of SDEs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: St. Petersburg Polytechnical University Journal: Physics and Mathematics - Volume 2, Issue 2, June 2016, Pages 144–149
نویسندگان
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