Stochastic integral equations and diffusion processes

  • E. B. Dynkin
Part of the Die Grundlehren der Mathematischen Wissenschaften book series (GL, volume 121/122)


Let \({X^\mu } = ({x_t}, + \infty ,{\bar N_t}(\mu ),{P_\mu })\) be a Wiener random function on a Euclidean space E, corresponding to an initial distribution μ. In this section we shall construct a noteworthy class of continuous additive functionals of X μ which are solutions of stochastic integral equations. In the next section an extensive class of diffusion processes will be constructed with the help of these functionals.


Diffusion Process Euclidean Space Markov Process Initial Distribution Wiener Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin · Göttingen · Heidelberg 1965

Authors and Affiliations

  • E. B. Dynkin
    • 1
  1. 1.University of MoscowRussia

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