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Zapiski Nauchnykh Seminarov POMI, 2010, Volume 384, Pages 291–309
(Mi znsl3896)
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This article is cited in 3 scientific papers (total in 3 papers)
On delay and asymmetry points of one-dimensional semi-Markov diffusion processes
B. P. Harlamov Institute of Problems of Mechanical Engineering, Russian Academy of Sciences, St. Petersburg, Russia
Abstract:
A homogeneous linear differential equation of the second order is considered. For an open interval where the equation is treated a family of operators of the Dirichlet problem on the set of all subintervals is said to be a generalized semi-group due to its special property. Let the equation has meaning on each of two disjoint intervals with a common boundary point $z$. The extension of the corresponding two semi-groups of operators to a semi-group of operators corresponding to the union of these intervals and the point $z$ is shown to be not unique. It is determined by two arbitrary constants. In order to interpret these arbitrary constants we use a one-dimensional locally Markov diffusion process with special properties of passage of the point $z$. One of these arbitrary constants determines a delay of the process at the point $z$, and the second one induces an asymmetry of the process with respect to $z$. The two extremal meanings of the latter constant, 0 and $\infty$, determine reflection of the process from the point $z$ while going to the point from the left and from the right, respectively. Bibl. 4 titles.
Key words and phrases:
diffusion process, semi-Markov process, differential equation, Dirichlet problem, semi-group, reflection, deletion, asymmetry, stationary.
Received: 09.11.2010
Citation:
B. P. Harlamov, “On delay and asymmetry points of one-dimensional semi-Markov diffusion processes”, Probability and statistics. Part 16, Zap. Nauchn. Sem. POMI, 384, POMI, St. Petersburg, 2010, 291–309; J. Math. Sci. (N. Y.), 176:2 (2011), 270–280
Linking options:
https://www.mathnet.ru/eng/znsl3896 https://www.mathnet.ru/eng/znsl/v384/p291
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Abstract page: | 179 | Full-text PDF : | 56 | References: | 61 |
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