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

2013/07/12 by John M. Noble, Noble, John M.
Economics, Econometrics and Finance · Mathematics · #Mathematical Biology Tumor Growth #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR

paper · pdf · doi:10.48550/arxiv.1307.3413

arxiv created 2014/11/06 · arxiv updated 2014/11/07

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)d²/dx² + b d/dx - k) which meets the given marginal at time t.

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