Estimating Eigenfunctions of the Infinitesimal Generator of a Stochastic Differential Equation as Solutions of Integral Equations

Ruhi Tuncer ()

No 13-5, GIAM Working Papers from Galatasaray University Economic Research Center

Abstract: We propose to estimate the eigenfunctions of the infinitesimal generator of a stochastic differential equation as the solutions of an integral equation.

Pages: 4 pages
Date: 2013-03-25
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