A representation formula for transition probability densities of diffusions and applications
We establish a representation formula for the transition probability density of a diffusion perturbed by a vector field, which takes a form of Cameron-Martin's formula for pinned diffusions. As an application, by carefully estimating the mixed moments of a Gaussian process, we deduce explicit,...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2004
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