Some examples of nonlinear diffusion processes having a time-periodic law (Q1057572)
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| English | Some examples of nonlinear diffusion processes having a time-periodic law |
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Some examples of nonlinear diffusion processes having a time-periodic law (English)
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1985
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It is shown that contrary to (linear) homogeneous nondegenerate diffusion processes, nonlinear diffusions can have a time-periodic law. The following qualitatively different examples are studied: a law-dependent Ornstein-Uhlenbeck process, a deterministic example, a one-dimensional diffusion with a semilinear drift and a two-dimensional example with a linear drift.
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time-periodic law
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law-dependent Ornstein-Uhlenbeck process
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