Markov processes and diffusion equations on unbounded intervals
The authors study the differential operator \(A:D(A)\to W_2^0\) defined by NEWLINE\[NEWLINEAu(x) = \alpha(x)u(x) \text{ if } x>0 \quad \text{and}\quad Au(x)=0 \text{ if }x=0,NEWLINE\]NEWLINE where \(\alpha\) is a continuous function on \([0,\infty)\), differentiable at \(0\) and such that \(0<\alpha_0\leq\alpha(x)/x\leq\alpha_1 (x\geq 0)\) for some \(\alpha_0,\alpha_1\in {\mathbb R}\), \(D(A)\) denotes the subspace of all functions \(u\in W_2^0\cap C^2([0,\infty))\) such that NEWLINE\[NEWLINE\lim_{x\to 0+} \alpha(x)u(x) = \lim_{x\to\infty}{\alpha(x)u(x)\over {1+x^2}} = 0NEWLINE\]NEWLINE It is shown that this operator generates a Feller semigroup that is the transition semigroups associated with a suitable Markov processes on \([0;\infty)\). Moreover the authors evaluate the expected value and the variance of the random variables describing the position of the processes. An approximation formula (in the weak topology) of the distribution of the position of the processes at every time is found, provided the distribution of the initial position is given and possesses a finite moment of order two.
- Semigroups and diffusion processes
- One-dimensional diffusion processes in bounded domains with boundary conditions and conjugation condition of the Feller-Wentzell type.
- Feller semigroups and Markov processes
- scientific article; zbMATH DE number 3131442
- On a class of elliptic-parabolic equations on unbounded intervals
- Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. I.
- On sequentially weakly Feller solutions to SPDE's
- On a class of exponential-type operators and their limit semigroups
- scientific article; zbMATH DE number 3885075 (Why is no real title available?)
- Unbounded probability theory and multistep relaxation processes
- scientific article; zbMATH DE number 175848 (Why is no real title available?)
- The Dirichlet problem of a discontinuous Markov process
- Intertwined Markov processes: the extended Chapman–Kolmogorov equation
- Markov Processes and Their Applications to Partial Differential Equations: Kuznetsov’s Contributions
- On a class of elliptic-parabolic equations on unbounded intervals
- Markov processes and positive semigroups on some classes of weighted continuous function spaces
This page was built for publication: Markov processes and diffusion equations on unbounded intervals
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5935722)
