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Zapiski Nauchnykh Seminarov POMI, 2014, Volume 431, Pages 209–241 (Mi znsl6104)  

This article is cited in 2 scientific papers (total in 2 papers)

Final distribution of a diffusion process with a final stop

B. P. Harlamov

Institute of Problems of Mechanical Engineering, Russian Academy of Sciences, St. Petersburg, Russia
Full-text PDF (274 kB) Citations (2)
References:
Abstract: One-dimensional diffusion process is considered. A characteristic operator of this process is assumed to be a linear differential operator of the second order with a negative coefficient in the operator's member without derivative. Such an operator determines a measure of a Markov diffusion process with a break (the first interpretation), and also that of a semi-Markov diffusion process with a final stop (the second interpretation). Under the second interpretation the existence of a limit on infinity of the process (the final point) is characterized. This limit exists on any interval almost sure with respect to a conditional measure, generated by condition that the process never leaves this interval. A distribution of the final point expressed in terms of two fundamental solutions of the corresponding ordinary differential equation, and also that of the final stop beginning instant are derived. A homogeneous process is considered as an example.
Key words and phrases: Markov process, continuous semi-Markov process, Markov moment, first exit time, final point, density of final distribution.
Received: 16.09.2014
English version:
Journal of Mathematical Sciences (New York), 2016, Volume 214, Issue 4, Pages 562–583
DOI: https://doi.org/10.1007/s10958-016-2799-9
Bibliographic databases:
Document Type: Article
UDC: 519.2
Language: Russian
Citation: B. P. Harlamov, “Final distribution of a diffusion process with a final stop”, Probability and statistics. Part 21, Zap. Nauchn. Sem. POMI, 431, POMI, St. Petersburg, 2014, 209–241; J. Math. Sci. (N. Y.), 214:4 (2016), 562–583
Citation in format AMSBIB
\Bibitem{Har14}
\by B.~P.~Harlamov
\paper Final distribution of a~diffusion process with a~final stop
\inbook Probability and statistics. Part~21
\serial Zap. Nauchn. Sem. POMI
\yr 2014
\vol 431
\pages 209--241
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl6104}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3488646}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2016
\vol 214
\issue 4
\pages 562--583
\crossref{https://doi.org/10.1007/s10958-016-2799-9}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84961169568}
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  • https://www.mathnet.ru/eng/znsl6104
  • https://www.mathnet.ru/eng/znsl/v431/p209
  • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
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    References:39
     
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