skip to main content
OSTI.GOV title logo U.S. Department of Energy
Office of Scientific and Technical Information

Title: Semimartingales from the Fokker-Planck Equation

Abstract

We show the existence of a semimartingale of which one-dimensional marginal distributions are given by the solution of the Fokker-Planck equation with the pth integrable drift vector (p > 1)

Authors:
 [1]
  1. Department of Mathematics, Hokkaido University, Sapporo 060-0810 (Japan), E-mail: mikami@math.sci.hokudai.ac.jp
Publication Date:
OSTI Identifier:
21067423
Resource Type:
Journal Article
Resource Relation:
Journal Name: Applied Mathematics and Optimization; Journal Volume: 53; Journal Issue: 2; Other Information: DOI: 10.1007/s00245-005-0844-z; Copyright (c) 2006 Springer; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; DISTRIBUTION; FOKKER-PLANCK EQUATION; INTEGRAL CALCULUS; MATHEMATICAL SOLUTIONS; ONE-DIMENSIONAL CALCULATIONS; VECTORS

Citation Formats

Mikami, Toshio. Semimartingales from the Fokker-Planck Equation. United States: N. p., 2006. Web. doi:10.1007/S00245-005-0844-Z.
Mikami, Toshio. Semimartingales from the Fokker-Planck Equation. United States. doi:10.1007/S00245-005-0844-Z.
Mikami, Toshio. Wed . "Semimartingales from the Fokker-Planck Equation". United States. doi:10.1007/S00245-005-0844-Z.
@article{osti_21067423,
title = {Semimartingales from the Fokker-Planck Equation},
author = {Mikami, Toshio},
abstractNote = {We show the existence of a semimartingale of which one-dimensional marginal distributions are given by the solution of the Fokker-Planck equation with the pth integrable drift vector (p > 1)},
doi = {10.1007/S00245-005-0844-Z},
journal = {Applied Mathematics and Optimization},
number = 2,
volume = 53,
place = {United States},
year = {Wed Mar 15 00:00:00 EST 2006},
month = {Wed Mar 15 00:00:00 EST 2006}
}