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Constructing an SDE from its two-point generator
- 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