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Two-gate formula

Two-gate formula The two gate formula for a diffusionX t inR n is considered. The formula gives an expression of the density function ofX t in terms of the path integral of the Brownian bridge starting fromx and ending ony at timet. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

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Publisher
Springer Journals
Copyright
Copyright © 1985 by Science Press and D. Reidel Publishing Company
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/BF01665850
Publisher site
See Article on Publisher Site

Abstract

The two gate formula for a diffusionX t inR n is considered. The formula gives an expression of the density function ofX t in terms of the path integral of the Brownian bridge starting fromx and ending ony at timet.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Apr 25, 2005

References