The problem of discrete Markov diffusion leaving an interval

DOI10.1007/S10559-016-9859-5MaRDI QIDQ333567zbMATH OpenOpenAlexFDO

Authors D. V. Koroliouk

Publication date 31 October 2016

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-016-9859-5

zbMATH Keywords

variational problemOrnstein-Uhlenbeck processstochastic difference equationaction functional

Mathematics Subject Classification ID

Diffusion processes (60J60) Generation, random and stochastic difference and differential equations (37H10)

Recommendations

• A first passage time distribution for a discrete version of the Ornstein–Uhlenbeck process
• Action functional for diffusions in discontinuous media
• Boundary behavior of diffusion approximations to Markov jump processes
• The Onsager-Machlup theory for Markov processes with discrete time parameter: a characterisation of the detailed balance
• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process

Cites work

• scientific article; zbMATH DE number 3951715 (Why is no real title available?)
• scientific article; zbMATH DE number 1509412 (Why is no real title available?)
• Diffusion Approximation with Equilibrium for Evolutionary Systems Switched by Semi-Markov Processes
• Diffusion approximation of statistical experiments with persistent linear regression and equilibrium
• Diffusion approximation of statistical experiments with persistent non-linear regression and equilibrium
• Large deviations for stochastic processes.
• Random Perturbations of Dynamical Systems
• Two component binary statistical experiments with persistent linear regression

Cited in

(2)

• scientific article; zbMATH DE number 5932203 (Why is no real title available?)
• scientific article; zbMATH DE number 4182081 (Why is no real title available?)

This page was built for publication: The problem of discrete Markov diffusion leaving an interval

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q333567)