3 papers
math.PR2022
On Function of Evolution of Distribution for Time Homogeneous Markov Processes
Tomasz Bielecki, Jacek Jakubowski, Maciej Wiśniewolski
A study of time homogeneous, real valued Markov processes with a special property and a non-atomic initial distribution is provided. The new notion of a function of evolution of di…
math.PR2014
On matching diffusions, Laplace transforms and partial differential equations
Maciej Wiśniewolski, Jacek Jakubowski
We present the idea of intertwining of two diffusions by Feynman-Kac operators. We present some variations and implications of the method and give examples of its applications. Amo…
math.PR2014
Exact Distribution of Verhulst process
Maciej Wiśniewolski, Jacek Jakubowski
We investigate a Verhulst process, which is the special functional of geometric Brownian motion and has many applications, among others in biology and in stochastic volatility mode…