Construction of peculiar diffusion process having Gaussian marginals

Syeda Rabab Mudakkar

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 15, 4509-4516

Abstract: In this note, we construct a new strange diffusion process whose drift coefficient does not satisfy the usual Lipschitz and linear-growth conditions. Beginning with the necessary characteristic equation between drift and diffusion coefficients established in Mudakkar (2012) and using the Foster–Lyapunov criterion and truncation technique, the existence is established.

Date: 2016
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DOI: 10.1080/03610926.2014.922984

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