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

DOI10.1007/BF01849536MaRDI QIDQ1313630zbMATHFDO

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)

Cited in

(3)

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

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