Distributions of functionals of diffusions with nonstandard switching

DOI10.1007/S10958-022-06229-5MaRDI QIDQ2684701zbMATH OpenOpenAlexFDO

Authors A. N. Borodin

Publication date 17 February 2023

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-022-06229-5

zbMATH Keywords

diffusion processesswitching processes

Mathematics Subject Classification ID

Diffusion processes (60J60)

Review text

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.

Recommendations

• Distributions of functionals of switching diffusions with jumps
• Distributions of functionals of switching diffusions
• Distribution of functionals of a Brownian motion with nonstandard switching
• Distributions of functionals of diffusions with jumps
• Joint distributions of functionals of the telegraph process and switching diffusions

Cites work

• Distributions of functionals of switching diffusions
• scientific article; zbMATH DE number 942202 (Why is no real title available?)
• Joint distributions of functionals of the telegraph process and switching diffusions
• On Distributions of Certain Wiener Functionals
• Stochastic processes. Translated from the Russian

Cited in

(9)

• Distributions of functionals of switching diffusions
• Joint distributions of functionals of the telegraph process and switching diffusions
• Distributions of functionals of switching diffusions with jumps
• Distribution of functionals of a Brownian motion with nonstandard switching
• Boundary value problems for statistics of diffusion in a randomly switching environment: PDE and SDE perspectives
• Distribution of functionals of special diffusions with jumps
• Switch-time distributions and processes
• scientific article; zbMATH DE number 5029465 (Why is no real title available?)
• Characteristics of the switch process and geometric divisibility

This page was built for publication: Distributions of functionals of diffusions with nonstandard switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2684701)