Reciprocal diffusions and stochastic differential equations of second order∗
- 1 August 1988
- journal article
- research article
- Published by Taylor & Francis in Stochastics
- Vol. 24 (4) , 393-422
- https://doi.org/10.1080/17442508808833525
Abstract
We develop a theory of second order diffusion processes and associated stochastic differential equations of second order. We show that equations of evolution of the density, mean velocity and momentum flux are a family of first order conservation laws similar to those of continuum mechanics. We verify that the theory is satisfied for a large class of reciprocal Gaussian processesKeywords
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