Smooth diffusion measures and their transformations

被引：0

作者：

Belopolskaya Y.I. ^{[1
]}

机构：

[1] St. Petersburg State University of Building and Architecture,

来源：

Journal of Mathematical Sciences | 2002年 / 109卷 / 6期

基金：

俄罗斯基础研究基金会;

关键词：

Radon; Mathematical Physic; Diffusion Process; Explicit Expression; Continuous Measure;

D O I：

10.1023/A:1014564913268

中图分类号：

学科分类号：

摘要：

In this paper, we show that some well-known equations of mathematical physics can be naturally treated from the probability viewpoint as equations for logarithmic derivatives of smooth diffusion measures. We discuss a probabilistic interpretation of the Darboux transformation applied in the theory of the Sturm-Liouville equations. It is shown that this transformation can be applied in deriving an explicit expression for the Radon-Nikodym derivative of a pair of absolutely continuous measures generated by various scalar multiplicative functionals of diffusion processes. ©2002 Plenum Publishing Corporation. © 2002 Plenum Publishing Corporation.

引用

页码：2047 / 2060

页数：13

共 12 条

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