Transition density of one-dimensional diffusion with discontinuous drift

DOI10.1109/9.58517MaRDI QIDQ5202604zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cited in

(8)

• Effect of a drift discontinuity on a travelling Gaussian
• Change of drift in one-dimensional diffusions
• Smooth Taboo Density for One-Dimensional Diffusions
• Smooth Transition Densities for 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
• One-dimensional drift-diffusion between two absorbing boundaries: Application to granular segregation
• Trivariate density of Brownian motion, its local and occupation times, with application to stochastic control

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