On conditional distributions of diffusion processes

N. V. Krylov; B. L. Rozovskiĭ

doi:10.1070/IM1978v012n02ABEH001857

On conditional distributions of diffusion processes

N. V. Krylov, B. L. Rozovskiĭ

Mathematics

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15 Scopus citations

Abstract

For a two-component diffusion process on the Euclidean space, we consider the question of the existence of the density of the distribution, with respect to Lebesgue measure, and we study its analytic properties. We also consider the question of the existence and uniqueness of the solution of the equation for (the filtering equation). Bibliography: 18 titles.

Original language	English (US)
Pages (from-to)	336-356
Number of pages	21
Journal	Mathematics of the USSR - Izvestija
Volume	12
Issue number	2
DOIs	https://doi.org/10.1070/IM1978v012n02ABEH001857
State	Published - Apr 30 1978

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On conditional distributions of diffusion processes

Abstract

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