From State Dependent Diffusion to Constant Diffusion in Stochastic Differential Equations by the Lamperti Transform

By Jan Kloppenborg Møller, Henrik Madsen. 2010

58 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/948b3c01e4d207d46c535997491af08c1c17a20d

Citations in the corpus

• Applied Stochastic Differential Equations (2019, unknown): “More generally the transformation does not have a simple formula, but instead the transformation can only be defined as a solution to a system of partial differential equations (Møller and Madsen, 2010).”