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math-ph2013
Correction of the Fokker-Planck equation, and the adequate sense of stochastic integration
Dietrich Ryter
The Fokker-Planck equation needs to be modified when the diffusion parameters are not constant, in order to match it with the backward equation. It even becomes simpler, and the in…
math-ph2013
The unique solution of stochastic differential equations
Dietrich Ryter
The solutions of stochastic differential equations without an external drift are stochastically invariant under time reversal. This singles out the "anti-Ito" integral.