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arXiv · 1307.3413

Time Homogeneous Diffusion with drift and killing to meet a given marginal

John M. Noble
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Abstract

This article gives conditions on a probability measure and drift field b such that for a given killing field k and a given time t > 0, there is function a such that there is a time homogeneous Markov process with infinitesimal generator a((1/2)d^2/dx^2 + b d/dx - k) which meets the given marginal at time t.

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John M. Noble. 2013-07-12. Time Homogeneous Diffusion with drift and killing to meet a given marginal. https://arxiv.org/abs/1307.3413

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