Distributions of functionals of diffusions with nonstandard switching (Q2684701)

The article considers one-dimensional diffusion processes with switching. Initially, two diffusion processes are given. Each of them has its own set of diffusion coefficients. Switching from one set of coefficients to another occurs at random times. The author considers two types of switching. In the first case, these moments of time form a Poisson flow independent of the initial processes. In the second case, switching occurs when some integral functional reaches a random value with an exponential distribution.