Asymptotics for time-changed diffusions

DOI10.1090/TPMS/1021MaRDI QIDQ4606858zbMATH OpenOpenAlexWikidataFDO

Authors R. Capitanelli, Mirko D'Ovidio

Publication date 9 March 2018

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.09674

zbMATH Keywords

boundary value problemsscale functionskew Brownian motion

Mathematics Subject Classification ID

Boundary value problems for second-order elliptic equations (35J25) Boundary theory for Markov processes (60J50) Brownian motion (60J65)

Abstract: We consider time-changed diffusions driven by generators with discontinuous coefficients. The PDE's connections are investigated and in particular some results on the asymptotic analysis according to the behaviour of the coefficients are presented.

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Cites work

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Cited in

(4)

• Time homogeneous diffusions with a given marginal at a deterministic time
• Fractional equations via convergence of forms
• Critical parameters for reaction-diffusion equations involving space-time fractional derivatives
• Asymptotic behavior for a time-inhomogeneous Kolmogorov type diffusion

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