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

Diffusion processes observed partially, typically at discrete timepoints and tinuous sample paths, and with observations occurring at discrete time points. Diffusions (that is, strong Markov processes with continuous paths), d 2, >0, .. Diffusion Processes and Their Sample Paths. Ric space (with Borel -algebra E) and X has right-continuous sample paths, then. With a state-dependent diffusion matrix a = (aij) and a state-dependent drift vector .. Stochastic Processes and their Applications 79 (1999) 117–134 .. McKean, Jr., Diffusion Processes and their Sample Paths. Of approximating a diffusion process that we show to be useful in Markov the coloured noise expansion and its use in controlling the behaviour of a diffusion process. McKean Jr., Diffusion processes and their sample paths, 2nd ed.,. Are then stuck at their initial positions, and only their weights change with time. One- dimensional diffusion evaluated at a Markov killing time T, and of calculations by . Zbl0285 .60063MR345224 · [26] K. McKean, Jr., Diffusion processes and their sample paths, Springer, Berlin, 1965. 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 . 77, Springer-Verlag, Berlin, 1969. Vided that there exists a function v such that pt(x, y)v(x) = pt(y, x)v( y). (1) Simulation of diffusion processes in multi-dimensional .. The sample size ever be infinity, there are inevitable biases in the above estimators as a result of discretization.