Affiliation:
1. Department of Mathematical Sciences, Isfahan University of Technology, Isfahan 84156-83111, Iran
Abstract
It is known that the two-point generator of an SDE determines the law of its flow uniquely. We describe an explicit way to find the coefficients of the SDE from its two-point generator. Indeed, this method of construction produces a sequence of SDEs in a way that the associated sequence of stochastic flows converges to the stochastic flow of the desired SDE.
Publisher
World Scientific Pub Co Pte Lt