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Constructing an SDE from its two-point generator

Authors :
Mohammad Alvand
Source :
Stochastics and Dynamics. 15:1550025
Publication Year :
2015
Publisher :
World Scientific Pub Co Pte Lt, 2015.

Abstract

It is known that the two-point generator of an SDE determines the law of its flow uniquely. We describe an explicit way to find the coefficients of the SDE from its two-point generator. Indeed, this method of construction produces a sequence of SDEs in a way that the associated sequence of stochastic flows converges to the stochastic flow of the desired SDE.

Details

ISSN :
17936799 and 02194937
Volume :
15
Database :
OpenAIRE
Journal :
Stochastics and Dynamics
Accession number :
edsair.doi...........bebd89d0c4d959b16a3dafa0d6e50a59