Time changes and killing

  • Kiyosi Itô
  • Henry P. McKeanJr.
Part of the Classics in Mathematics book series (CLASSICS)

Abstract

Given a 1-dimensional diffusion, singular or not, a complete description of its generator G is now before us. G coincides on its domain with a differential operator G• of degree ≦2 expressed in terms of invariants (scale, speed measure, etc.) via the formulas 4.1.8) [or 4.1.31,32,33)] and each invariant has a simple probabilistic meaning embodied in the formulas 4.1.7) [or 4.1.22, 23 b, 23 c, and 26)].

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Copyright information

© Springer-Verlag Berlin Heidelberg 1996

Authors and Affiliations

  • Kiyosi Itô
    • 1
    • 3
  • Henry P. McKeanJr.
    • 2
  1. 1.RIMSKyoto UniversitySakyo-Ku, KyotoJapan
  2. 2.Courant Institute of Mathematical SciencesNew York UniversityNew YorkUSA
  3. 3.Cornell UniversityUSA

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