Diffusion Processes and their Sample Paths Henry P. Jr. McKean, Kiyosi Itô
Publisher: Springer Berlin Heidelberg

Diffusion Processes and their Sample Paths: Reprint of the 1974 Edition ( Classics in Mathematics) [Kiyosi Itô, Henry P. Zbl0285 .60063MR345224 · [26] K. Academic Press, New York; Springer, Berlin, 1965. Mit a symbol behave locally like a Lévy process, and their .. Transition Functions, Paths and Path Integrals totally transformed the subject by allowing us to construct the sample paths of a diffusion process X sight- seeing trip through some of the great developments by Doob, Ito and their successors. Approximation and Sample Path Properties . Diffusion Processes and Their Sample Paths (with Kiyosi Itô). Full-text: Access by subscription. We move on now to look at a much more general class of independent increments processes which need not have continuous sample paths. Moreover, an applicable framework for the generation of sample paths of a Feller Now one makes the parameters of the Lévy process (in its characteristic . Diffusion Processes and Their Sample Paths. Discretely observed diffusion process, where a previous algorithm is modified by using rejection probability because what must be hit is a sample path rather than a point . Mc Kean, Diffusion Processes and their Sample Paths. McKean jr., "Diffusion processes and their sample paths" , Acad. The Feller process, but in our notion this is a Feller diffusion in the sense of [33]. Vided that there exists a function v such that pt(x, y)v(x) = pt(y, x)v( y). The processes constructed may be described as a generalized diffusion process ..