Concepedia

Stochastic Equations for Diffusion Processes in a Bounded Region

A. V. Skorokhod

Theory of Probability and Its Applications · 1961 · 426 citations · 5 references

Concepts

Diffusion ProcessesDiffusion ProcessStochastic CalculusAnomalous DiffusionStochastic Differential EquationStochastic Differential Equations

Abstract

In this paper an equation is derived for diffusion processes with a reflecting boundary; it is proved that the solution to this equation exists and is unique.

References

5

Diffusion processes in one dimension

William Feller · Transactions of the American Mathematical Society · 1954 · 513 citations · Full text

Spectral Theory, Integration Problem, Familiar Adjoint +17

Limit Theorems for Stochastic Processes with Independent Increments

A. V. Skorokhod · Theory of Probability and Its Applications · 1957 · 214 citations

Independent Increments, Lévy Distance, Engineering +13

The General Diffusion Operator and Positivity Preserving Semi-Groups in One Dimension

William Feller · Annals of Mathematics · 1954 · 107 citations

Spectral Theory, Measure Theory, Dirichlet Form +13

Martingales and one-dimensional diffusion

J. L. Doob · Transactions of the American Mathematical Society · 1955 · 36 citations

Engineering, Entropy, Integrable Probability +13

On the Differentiability of Measures Corresponding to Random Processes. II. Markov Processes

A. V. Skorokhod · Theory of Probability and Its Applications · 1960 · 12 citations

Engineering, Entropy, Measures Corresponding +11