Conditional distributions which do not satisfy the Chapman-Kolmogorov equation

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概要

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• We consider one-dimensional generalized diffusion processes (ODGDPs for brief), where both boundary points are accessible or asymptotically accessible. For such ODGDPs we consider stochastic processes induced by conditioning on hitting or asymptotical hitting the right boundary point before hitting or asymptotical hitting the left boundary point. The induced stochastic processes are again ODGDPs when the right boundary point is either accessible with the absorbing boundary condition or asymptotically accessible. However the probability distributions of the induced stochastic processes do not satisfy the Chapman-Kolmogorov equation when the right boundary point is accessible with the reflecting or elastic boundary condition.

• 社団法人 日本数学会の論文
• 2007-10-01

著者

• Iizuka Masaru

  Division Of Mathematics Kyushu Dental College

• MAENO Miyuki

  School of Interdisciplinary Research of Scientific Phenomena and Information Graduate School of Huma

• TOMISAKI Matsuyo

  Department of Mathematics Faculty of Science Nara Women's University

• Tomisaki Matsuyo

  Department Of Mathematics Faculty Of Science Nara Women's University

• Maeno Miyuki

  School Of Interdisciplinary Research Of Scientific Phenomena And Information Graduate School Of Humanities Sciences Nara Women's University

• TOMISAKI Matsuyo

  Department of Mathematics Faculty of Science and Engineering Saga University

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