Analysis of Markov process nonlinear transformations on Ito formula

A. S. Popov

doi:10.1117/12.547711

19 February 2004 Analysis of Markov process nonlinear transformations on Ito formula

A. S. Popov

Proceedings Volume 5381, Lasers for Measurements and Information Transfer 2003; (2004) https://doi.org/10.1117/12.547711
Event: Lasers for Measurements and Information Transfer 2003, 2003, St. Petersburg, Russian Federation

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.

Citation Download Citation

A. S. Popov "Analysis of Markov process nonlinear transformations on Ito formula", Proc. SPIE 5381, Lasers for Measurements and Information Transfer 2003, (19 February 2004); https://doi.org/10.1117/12.547711

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