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The application of stochastic analysis to countable allelic diffusion model
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Abstract
In allelic model X=(x_1 ,x_2 ,cdots ,x_d ),[M_f(t)=f(p(t))-int_0^t Lf(p(t))ds]is a P-martingale for diffusion operator L under the certainconditions. In this note, we can show existence and uniqueness ofsolution for stochastic differential equation and martingaleproblem associated with mean vector. Also, we examine that if theoperator related to this martingale problem is connected withMarkov processes under certain circumstance, then this operatormust satisfy the maximum principle.
참고문헌 (6)
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