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Introduction to the theory of random processes
- Publisher
- Springer Journals
- Copyright
- Copyright © 1999 by Plenum Publishing Corporation
- Subject
- Mathematics; Mathematics, general
- ISSN
- 1072-947X
- eISSN
- 1572-9176
- DOI
- 10.1023/A:1022917700604
- Publisher site
- See Article on Publisher Site
Abstract
The Markov dilation of diffusion type processes is defined. Infinitesimal operators and stochastic differential equations for the obtained Markov processes are described. Some applications to the integral representation for functionals of diffusion type processes and to the construction of a replicating portfolio for a non-terminal contingent claim are considered.
Journal
Georgian Mathematical Journal – Springer Journals
Published: Sep 30, 2004