Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156433 | Stochastic Processes and their Applications | 2015 | 41 Pages |
Abstract
In this article, it is proved that for any probability law μ over R and a drift field b:RâR and killing field k:RâR+ which satisfy hypotheses stated in the article and a given terminal time t>0, there exists a string m, an αâ(0,1], an initial condition x0âR and a process X with infinitesimal generator (12â2âmâx+bââmââKâm) where k=âKâx such that for any Borel set BâB(R), P(XtâB|X0=x0)=αμ(B). Firstly, it is shown the problem with drift and without killing can be accommodated, after a simple co-ordinate change, entirely by the proof in Noble (2013). The killing field presents additional problems and the proofs follow the lines of Noble (2013) with additional arguments.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
John M. Noble,