A Necessary Characteristic Equation of Diffusion Processes Having Gaussian Marginals

Abstract

The aim of this work is to characterize one-dimensional homogeneous diffusion process, under the assumption that marginal density of the process is Gaussian. The method considers the forward Kolmogorov equation and Fourier transform operator approach. The result establishes the necessary characteristic equation between drift and diffusion coefficients for homogeneous and nonhomogeneous diffusion processes. The equation for homogeneous diffusion process leads to characterize the possible diffusion processes that can exist. Two well-known examples using the necessary characteristic equation are also given.