Erratum to "Fundamental Solutions to Kolmogorov Equations via Reduction to Canonical Form"
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منابع مشابه
Fundamental solutions to Kolmogorov equations via reduction to canonical form
This paper finds fundamental solutions to the backward Kolmogorov equations, usually interpretable as transition density functions for variables x that follow certain stochastic processes of the form dx = A(x, t)dt + cxγdX and dx = A(x, t)dt +α1 +α2x+α3xdX . This is achieved by first reducing the relevant PDEs that the density functions satisfy to their canonical form. These stochastic processe...
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ورودعنوان ژورنال:
- ADS
دوره 2011 شماره
صفحات -
تاریخ انتشار 2011