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A transformation of the phase space of a diffusion process that removes the drift. (English) Zbl 0306.60049

MSC:
60J60 Diffusion processes
60H20 Stochastic integral equations
60H15 Stochastic partial differential equations (aspects of stochastic analysis)
93E20 Optimal stochastic control
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
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