Skew-Normal Diffusions
From MaRDI portal
Fokker-Planck equations (35Q84) Martingales and classical analysis (60G46) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Abstract: We present a class of scalar Markovian diffusion processes whose transition probability densities behave as skewed Gaussian distributions. Their stochastic dynamics involve nonlinear and time-dependent drifts driven by White Gaussian noise sources. The drifts are obtained via generalized -transforms of a class of local martingales. We can alternatively represent this class of processes as dynamic censoring models with partial observability and time-dependent correlations, which can be used as a skewness-inducing noise source for any diffusion process. We prove the invariance of our class of skew-Normal processes under linear transformations. We extend our results to Ornstein-Uhlenbeck diffusions.
This page was built for publication: Skew-Normal Diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6508513)
