9 citations · 9 across the 5 of their papers we have counts for
5 papers
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…
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…
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…
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…
On hyperbolic Bessel processes and beyond
Jacek Jakubowski, Maciej Wiśniewolski
We investigate distributions of hyperbolic Bessel processes. We find links between the hyperbolic cosine of hyperbolic Bessel processes and functionals of geometric Brownian motion…