Effect of a drift discontinuity on a travelling Gaussian

DOI10.1016/S0893-9659(98)00036-6MaRDI QIDQ1124848zbMATH OpenOpenAlexFDO

Authors Stephen Maybank

Publication date 27 July 2000

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0893-9659(98)00036-6

zbMATH Keywords

drift discontinuitystochastic differential equationtraveling Gaussian density

Mathematics Subject Classification ID

Gaussian processes (60G15)

Review text

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.

Recommendations

• Transition density of one-dimensional diffusion with discontinuous drift
• The first-passage density of a continuous gaussian process to a general boundary
• On properties of a flow generated by an SDE with discontinuous drift
• Publication:4885498
• The expectation of solution of random continuity equation with Gaussian velocity field

Cites work

• Finite-dimensional filters
• scientific article; zbMATH DE number 4211183 (Why is no real title available?)
• scientific article; zbMATH DE number 4020069 (Why is no real title available?)
• scientific article; zbMATH DE number 49106 (Why is no real title available?)
• scientific article; zbMATH DE number 107539 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Reflected Brownian Motion in the “Bang-Bang” Control of Brownian Drift
• Some solvable stochastic control problemst^†
• Stochastic differential equations. An introduction with applications.

Cited in

(1)

• Image deformations are better than optical flow

Describes a project that uses

Uses Software

• Mathematica

This page was built for publication: Effect of a drift discontinuity on a travelling Gaussian

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1124848)