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Semimartingales from the Fokker-Planck Equation

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Abstract

We show the existence of a semimartingale of which one-dimensional marginal distributions are given by the solution of the Fokker-Planck equation with the pth integrable drift vector (p > 1).

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  1. Department of Mathematics, Hokkaido University, Sapporo 060-0810, Japan

    Toshio Mikami

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  1. Toshio Mikami
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Correspondence to Toshio Mikami.

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Mikami, T. Semimartingales from the Fokker-Planck Equation. Appl Math Optim 53, 209–219 (2006). https://doi.org/10.1007/s00245-005-0844-z

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  • DOI: https://doi.org/10.1007/s00245-005-0844-z

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