Effect of a drift discontinuity on a travelling Gaussian (Q1124848)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Effect of a drift discontinuity on a travelling Gaussian |
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Effect of a drift discontinuity on a travelling Gaussian (English)
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27 July 2000
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The effect of a fixed discontinuity on a traveling Gaussian density is modeled using a stochastic differential equation. The resulting density function may be written as a one-dimensional integral of known functions. Other properties of the density are discussed.
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drift discontinuity
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traveling Gaussian density
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stochastic differential equation
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