Article ID Journal Published Year Pages File Type
1156924 Stochastic Processes and their Applications 2010 25 Pages PDF
Abstract

Itô’s theory of excursion point processes is reviewed and the following topics are discussed: Application of the theory to one-dimensional diffusion processes on half-intervals satisfying Feller’s boundary conditions, and its multi-dimensional extension, i.e., the application of the theory to multi-dimensional diffusion processes satisfying Wentzell’s boundary conditions.

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Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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