An Example of Non-Gaussian Density Process

Raisa Epstein Feldman
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Raisa Epstein Feldman: University of California, Department of Statistics and Applied Probability

A chapter in Approximation, Probability, and Related Fields, 1994, pp 201-206 from Springer

Abstract: Abstract The Brownian density process is a distribution-valued process which can be defined either as a solution of a stochastic differential equation or as a limit of a functional over an infinite system of Brownian particles. We show that with an appropriate time change the process solves a particular stochastic differential equation with non-Gaussian measure, possibly having infinite second moment.

Keywords: Primary; 60G60; 60F17; secondary; 60F05; 60E07; Brownian density process; infinite particle system; invariance principle; non-Gaussian martingale measures; stochastic partial differential equation (search for similar items in EconPapers)
Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4615-2494-6_15

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DOI: 10.1007/978-1-4615-2494-6_15

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