Mimicking complicated stochastic differential equations by simpler ones. (English) Zbl 0665.60060

Gyöngy, I.

Probability theory and mathematical statistics with applications, Proc. 5th Pannonian Symp., Visegrád/Hung. 1985, 87-96 (1988).

[For the entire collection see Zbl 0656.00023.]
For an Ito process, stochastic differential equations having non-random coefficients are given whose solutions share the same one-dimensional marginal distributions and hitting probabilities, respectively.

Reviewer: T.C.Gard

MSC:

60H10

Stochastic ordinary differential equations (aspects of stochastic analysis)

Keywords:

Ito processes; stochastic differential equations; hitting probabilities