Article ID Journal Published Year Pages File Type
1156433 Stochastic Processes and their Applications 2015 41 Pages PDF
Abstract
In this article, it is proved that for any probability law μ over R and a drift field b:R→R and killing field k:R→R+ which satisfy hypotheses stated in the article and a given terminal time t>0, there exists a string m, an α∈(0,1], an initial condition x0∈R and a process X with infinitesimal generator (12∂2∂m∂x+b∂∂m−∂K∂m) where k=∂K∂x such that for any Borel set B∈B(R), P(Xt∈B|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.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
,