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Maoduan Ran (talk | contribs) |
Maoduan Ran (talk | contribs) |
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The family <math>\mathbb{P}^{\xi,\tau}_{a;b}</math> is called the <math>\mathcal{L}_{a;b}</math>-diffusion.
The <math>\mathcal{L}_{a;b}</math>-diffusion solves the SDE:
<math>dX_t^i = \sum_{k=1}^d \sigma_k^i(X_t) \, dB_t^k + b^i(X_t) \, dt,</math>
where <math>a^{ij}(x) = \sum_{k=1}^d \sigma_k^i(x)\sigma_k^j(x)</math>. Uniqueness of <math>\mathbb{P}^{\xi,\tau}_{a;b}</math> holds under Lipschitz continuity of <math>\sigma</math> and <math>b</math>.
== See also ==
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