On Stochastic Differential Equations Generating Non-gaussian Continuous Markov Process

Continuous Markov processes widely used as a tool for modeling random phenomena in numerous applications, can be defined as solutions of generally nonlinear stochastic differential equations (SDEs) with certain drift and diffusion coefficients which together governs the process’ probability density and correlation functions. Usually it is assumed that the diffusion coefficient does not depend on the process' current value. For presentation of non-Gaussian real processes this assumption becomes undesirable, leads generally to complexity of the correlation function estimation. We consider its analysis for the process with particular pairs of the drift and diffusion coefficients providing the given stationary probability distribution of the considered process