Diffusion Processes in One Dimension

著者: William Feller - Transactions of the American Mathematical Society 1954 被引用: 525

in a finite or infinite interval r1<x<r2. Recently [2] the theory of semigroups of transformations was used to formulate the integration problem and to define the notion of lateral conditions. It will now be shown that the semi-groups constructed in [2] permit us to describe the totality of all stochastic processes connected with (1.1). To each there corresponds a forward, or Fokker-Planck, equation. It reduces only in simplest cases to the familiar adjoint