Explicit expression for the transition density of the solution of a stochastic diffusion equation with piecewise-constant drift coefficient

DOI10.1007/BF01849536zbMATH Open0784.60058MaRDI QIDQ1313630FDOQ1313630

Authors: Murad Almazov 

Publication date: 2 March 1994

Published in: Journal of Soviet Mathematics (Search for Journal in Brave)

zbMATH Keywords

transition densitystochastic diffusion equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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Cited In (3)

• An explicit representation of the transition densities of the skew Brownian motion with drift and two semipermeable barriers
• Explicit form of approximate transition probability density functions of diffusion processes
• Integral equation for the transition density of the multidimensional Markov random flight

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