ON THE SOLUTION OF KAC-TYPE PARTIAL-DIFFERENTIAL EQUATIONS

被引：0

作者：

ARATO, M

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1994年 / 31A卷

关键词：

AUTOREGRESSION; CAUCHY PROBLEM; BROWNIAN MOTION; RADON-NIKODYM DERIVATIVE; STOCHASTIC FUNCTIONALS; DISTRIBUTIONS; LAPLACE TRANSFORM; PARTIAL DIFFERENTIAL EQUATIONS;

D O I：

10.2307/3214964

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The Cauchy problem in the form of (1.11) with linear and constant coefficients is discussed. The solution (1.10) can be given in explicit form when the stochastic process is a multidimensional autoregression (AR) type, or Ornstein-Uhlenbeck process. Functionals of (1.10) form were studied by Kac in the Brownian motion case. The solutions are obtained with the help of the Radon-Nikodym transformation, proposed by Novikov [12].

引用

页码：311 / 324

页数：14

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