Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions

@inproceedings{Albanese2007TransformationsOM,
  title={Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions},
  author={Claudio Albanese and Alexey Kuznetsov and A BSTRACT},
  year={2007}
}
We propose a new classification scheme for diffusion processes for which the backward Kolmogorov equation is solvable in analytically closed form by reduction to hypergeometric equations of the Gaussian or confluent type. The construction makes use of transformations of diffusion processes to eliminate the drift which combine a measure change given by Doob’s h-transform and a diffeomorphism. Such transformations have the important property of preserving analytic solvability of the process: the… CONTINUE READING

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