Path-space measure for stochastic differential equation with a coefficient of polynomial growth

Toru Nakamura
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Toru Nakamura: Sundai Preparatory School, Department of Mathematics

Chapter 21 in The Strength of Nonstandard Analysis, 2007, pp 306-316 from Springer

Abstract: Abstract A σ-additive measure over a space of paths is constructed to give the solution to the Fokker-Planck equation associated with a stochastic differential equation with coefficient function of polynomial growth by making use of nonstandard analysis.

Keywords: Green Function; Stochastic Differential Equation; Polynomial Growth; Standard Part; Nonstandard Analysis (search for similar items in EconPapers)
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-211-49905-4_21

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DOI: 10.1007/978-3-211-49905-4_21

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