Due to the recently revived interest toward the diffusion process proposed by Feller in the population dynamics context, the class of Kolmogorov equations that can be transformed into a similar equation possessing linear infinitesimal variance and affine drift is determined. The underlying space-time transformation is explicitly provided, and a few examples are discussed.
On the transformation of diffusion processes into the Feller process / R. M., Capocelli; Ricciardi, LUIGI MARIA. - In: MATHEMATICAL BIOSCIENCES. - ISSN 0025-5564. - STAMPA. - 29:3-4(1976), pp. 219-234. [10.1016/0025-5564(76)90104-8]
On the transformation of diffusion processes into the Feller process
RICCIARDI, LUIGI MARIA
1976
Abstract
Due to the recently revived interest toward the diffusion process proposed by Feller in the population dynamics context, the class of Kolmogorov equations that can be transformed into a similar equation possessing linear infinitesimal variance and affine drift is determined. The underlying space-time transformation is explicitly provided, and a few examples are discussed.File in questo prodotto:
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