One-dimensional diffusion and stochastic differential equation

Ping He, Yuncong Shen and Wenjie Sun

Statistics & Probability Letters, 2022, vol. 183, issue C

Abstract: In this paper, we study the condition for a one-dimensional diffusion to satisfy a stochastic differential equation. In the case of regular diffusion, we give a sufficient and nearly necessary condition using scale function and speed measure. For general diffusions, we decompose the state space into regular and shunt pieces, and give a condition for X satisfying a stochastic differential equation on any shunt pieces.

Keywords: Stochastic differential equation; One-dimensional diffusion; Scale function; Speed measure; Regular (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715221002844
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:183:y:2022:i:c:s0167715221002844

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2021.109333

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().