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Proceedings Paper

Analysis of Markov process nonlinear transformations on Ito formula
Author(s): A. S. Popov
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Paper Abstract

Offered alternative approach to the probabilistic analysis of nonlinear transformations of stochastic processes on the grounds of using a formula of change variables in the stochastic integral Ito. It is shown that in cognate conditions results of the analysis comply with results of the known transformation method of probability density functions.

Paper Details

Date Published: 19 February 2004
PDF: 5 pages
Proc. SPIE 5381, Lasers for Measurements and Information Transfer 2003, (19 February 2004); doi: 10.1117/12.547711
Show Author Affiliations
A. S. Popov, Baltic State Technical Univ. (Russia)


Published in SPIE Proceedings Vol. 5381:
Lasers for Measurements and Information Transfer 2003
Vadim E. Privalov, Editor(s)

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