It is shown that the transition p.d.f. of a diffusion process in R^n can be constructed in terms of a preassigned transition p.d.f. by making use of a product-form relation. This procedure extends some previous results for one-dimensional processes to the multidimensional case. Some examples relating to the Wiener and Ornstein-Uhlenbeck processes are finally discussed.
On the construction of transition densities for multidimensional diffusion densities
DI CRESCENZO, Antonio
1992-01-01
Abstract
It is shown that the transition p.d.f. of a diffusion process in R^n can be constructed in terms of a preassigned transition p.d.f. by making use of a product-form relation. This procedure extends some previous results for one-dimensional processes to the multidimensional case. Some examples relating to the Wiener and Ornstein-Uhlenbeck processes are finally discussed.File in questo prodotto:
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