INVARIANTS OF ONE-DIMENSIONAL DIFFUSION PROCESSES AND APPLICATIONS

INVARIANTS OF ONE-DIMENSIONAL DIFFUSION PROCESSES AND APPLICATIONS

One-dimensional diffusion processes are characterized by Feller's data of canonical scales and speed measures and, if we apply the theory of spectral functions of strings developed by M. G. Krein, Feller's data are determined by paris of spectral characteristic functions so that theses pairs may be considered as invariants of diffusions under the homeomorphic change of state spaces. We show by examples how these invariants are useful in the study of one-dimensional diffusion processes.

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