A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals
The aim of this work is to characterize one-dimensional homogeneous diffusion process, under the assumption that marginal density of the process is Gaussian. The method considers the forward Kolmogorov equation and Fourier transform operator approach. The result establishes the necessary characteris...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2012-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2012/598590 |
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doaj-20c890f8d7b04c5b9d6559992b91a7542020-11-24T22:33:44ZengHindawi LimitedAbstract and Applied Analysis1085-33751687-04092012-01-01201210.1155/2012/598590598590A Necessary Characteristic Equation of Diffusion Processes Having Gaussian MarginalsSyeda Rabab Mudakkar0Centre for Mathematical and Statistical sciences, Lahore School of Economics, Lahore 53200, PakistanThe aim of this work is to characterize one-dimensional homogeneous diffusion process, under the assumption that marginal density of the process is Gaussian. The method considers the forward Kolmogorov equation and Fourier transform operator approach. The result establishes the necessary characteristic equation between drift and diffusion coefficients for homogeneous and nonhomogeneous diffusion processes. The equation for homogeneous diffusion process leads to characterize the possible diffusion processes that can exist. Two well-known examples using the necessary characteristic equation are also given.http://dx.doi.org/10.1155/2012/598590 |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Syeda Rabab Mudakkar |
| spellingShingle |
Syeda Rabab Mudakkar A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals Abstract and Applied Analysis |
| author_facet |
Syeda Rabab Mudakkar |
| author_sort |
Syeda Rabab Mudakkar |
| title |
A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals |
| title_short |
A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals |
| title_full |
A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals |
| title_fullStr |
A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals |
| title_full_unstemmed |
A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals |
| title_sort |
necessary characteristic equation of diffusion processes having gaussian marginals |
| publisher |
Hindawi Limited |
| series |
Abstract and Applied Analysis |
| issn |
1085-3375 1687-0409 |
| publishDate |
2012-01-01 |
| description |
The aim of this work is to characterize one-dimensional homogeneous diffusion process, under the assumption that marginal density of the process
is Gaussian. The method considers the forward Kolmogorov equation and
Fourier transform operator approach. The result establishes the necessary
characteristic equation between drift and diffusion coefficients for homogeneous and nonhomogeneous diffusion processes. The equation for homogeneous
diffusion process leads to characterize the possible diffusion processes that
can exist. Two well-known examples using the necessary characteristic equation are also given. |
| url |
http://dx.doi.org/10.1155/2012/598590 |
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