Fokker-Planck-Kolmogorov equation for stochastic differential equations with boundary hitting resets
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Publication:6475451
arXivmath/0504583MaRDI QIDQ6475451FDOQ6475451
Gilles Fleury, Julien Bect, Hana Baili
Publication date: 28 April 2005
Abstract: We consider a Markov process on a Riemannian manifold, which solves a stochastic differential equation in the interior of the manifold and jumps according to a deterministic reset map when it reaches the boundary. We derive a partial differential equation for the probability density function, involving a non-local boundary condition which accounts for the jumping behaviour of the process. This is a generalisation of the usual Fokker-Planck-Kolmogorov equation for diffusion processes. The result is illustrated with an example in the field of stochastic hybrid systems.
Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes and stochastic analysis on manifolds (58J65)
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