3 papers
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
Inside the nature of squared Bessel process
Maciej Wiśniewolski
A new stochastic process is introduced and considered - squared Bessel process with special stochastic time. The analogues of fundamental properties for Brownian motion are deduced…
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…