Abstract
In this chapter we study other important topics in diffusion theory. While not strictly necessary for the remaining chapters, these topics are central in the theory of stochastic analysis and essential for further applications. The following topics will be treated:
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A)
Kolomogorov’s backward equation. The resolvent.
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B)
The Feynman-Kac formula. Killing.
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C)
The martingale problem.
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D)
When is a stochastic integral a diffusion?
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E)
Random time change.
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F)
The Cameron-Martin-Girsanov formula.
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© 1992 Springer-Verlag Berlin Heidelberg
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Øksendal, B. (1992). Other Topics in Diffusion Theory. In: Stochastic Differential Equations. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-02847-6_8
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DOI: https://doi.org/10.1007/978-3-662-02847-6_8
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-53335-1
Online ISBN: 978-3-662-02847-6
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