Feller semigroup for diffusion process piesewise-constant generalized diffusion matrix and generalized drift vector

• Autorzy: Kopytko B. , Novosyadlo A.
• Języki publikacji: EN

Abstrakty

EN

We obtain an integral representation of the classical solution of the conjugation problem for the second order parabolic equation with derivatives with respect to tangent variables at the conjugation conditions. Using this solution, we construct the Feller semigroup to which there corresponds a diffusion process with a piecewise-constant generalized diffusion matrix and a generalized drift vector.

Słowa kluczowe

EN

Feller semigroup; diffusion process

• Wydawca: Wydawnictwo Politechniki Częstochowskiej
• Czasopismo: Prace Naukowe Instytutu Matematyki i Informatyki Politechniki Częstochowskiej
• Rocznik: 2012
• Tom: Vol. 11, nr 4
• Strony: 75--84
• Opis fizyczny: Bibliogr. 10 poz.

Twórcy

autor

Kopytko B.

autor

Novosyadlo A.

• Institute of Mathematics, Czestochowa University of Technology, Czestochowa, Poland,

Bibliografia

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• [10] Portenko N.I. , Generalized Diffusion Processes, Kyiv 1982 (English transl., Amer. Math. Soc., Providence, RI, 1990).