OurBigBook.comSite Source code

Brownian transition semigroup

For suitable

f

,

(P_{t} f) (x) = E [f (x + t Z)]

defines the Brownian transition semigroup. Its generator identity is

\frac{d}{d t} P_{t} f = \frac{1}{2} P_{t} f^{''} .

Table of contents 44 1
- Brownian compensator martingale Brownian transition semigroup 26

 Ancestors (7)

 Incoming links (1)

Solution