Transition density of one-dimensional diffusion with discontinuous drift

DOI10.1109/9.58517zbMATH Open0724.93072OpenAlexW2084536374MaRDI QIDQ5202604FDOQ5202604

Authors: Weijian Zhang 

Publication date: 1990

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/9.58517

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zbMATH Keywords

bang-bang controlone-dimensional diffusion process with a discontinuous drift coefficient

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03)

Cited In (7)

• Change of drift in one-dimensional diffusions
• Transition probability density of a certain diffusion process concentrated on a finite spatial interval
• Stochastically perturbed sliding motion in piecewise-smooth systems
• Smooth Taboo Density for One-Dimensional Diffusions
• Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control
• One-dimensional drift-diffusion between two absorbing boundaries: Application to granular segregation
• Smooth Transition Densities for One-Dimensional Diffusions

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