Necessary and sufficient conditions for transforming into the Wiener process a one-dimensional diffusion process descibed by a Kolmogorov or by a Langevin equation are provided, and the transformation is determined. The relationship of these conditions with the criterion due to Cherkasov is exploited. A few examples are discussed.
On the transformation of diffusion processes into the Wiener process / Ricciardi, LUIGI MARIA. - In: JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS. - ISSN 0022-247X. - STAMPA. - 54:1(1976), pp. 185-199. [10.1016/0022-247X(76)90244-4]
On the transformation of diffusion processes into the Wiener process
RICCIARDI, LUIGI MARIA
1976
Abstract
Necessary and sufficient conditions for transforming into the Wiener process a one-dimensional diffusion process descibed by a Kolmogorov or by a Langevin equation are provided, and the transformation is determined. The relationship of these conditions with the criterion due to Cherkasov is exploited. A few examples are discussed.File in questo prodotto:
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